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hal.structure.identifier
dc.contributor.authorBrière, Marie*
hal.structure.identifier
dc.contributor.authorBodie, Zvi*
dc.date.accessioned2014-05-14T08:59:19Z
dc.date.available2014-05-14T08:59:19Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13292
dc.language.isoenen
dc.subjectCentral Bank Reservesen
dc.subjectSovereign Wealth Fundsen
dc.subjectAsset-Liability Managementen
dc.subjectContingent Claim Analysisen
dc.subjectBalance Sheeten
dc.subject.ddc332en
dc.subject.classificationjelH.H6.H63en
dc.subject.classificationjelH.H5.H50en
dc.subject.classificationjelH.H1.H11en
dc.subject.classificationjelG.G1.G18en
dc.subject.classificationjelG.G1.G11en
dc.titleSovereign Wealth and Risk Management: A Framework for Optimal Asset Allocation of Sovereign Wealthen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper sets out an analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claims analysis applied to the sovereigns economic balance sheet. A country solves an asset-liability management problem involving its sources of income and its expenditures. We derive analytically the optimal asset allocation of sovereign wealth, taking explicit account of all sources of risks affecting the sovereigns balance sheet. The optimal composition of sovereign wealth should involve a performance-seeking portfolio and three hedging demand terms for the variability of the fiscal surplus and external and domestic debt. A real-life application of our model in the case of Chile shows that its sovereign investment is under-diversified.en
dc.relation.isversionofjnlnameJournal Of Investment Management
dc.relation.isversionofjnlvol12en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpublisherJOIMen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.identifierhal-01492603*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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