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hal.structure.identifier
dc.contributor.authorBrière, Marie*
hal.structure.identifier
dc.contributor.authorBodie, Zvi*
dc.date.accessioned2014-12-17T13:34:27Z
dc.date.available2014-12-17T13:34:27Z
dc.date.issued2014-01
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14459
dc.language.isoenen
dc.subjectAsset-Liability Managementen
dc.subjectBalance Sheeten
dc.subjectCentral Bank Reservesen
dc.subjectContingent Claim Analysisen
dc.subjectSovereign Wealth Fundsen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G18en
dc.subject.classificationjelH.H1.H11en
dc.subject.classificationjelH.H5.H50en
dc.subject.classificationjelH.H6.H63en
dc.titleOptimal Asset Allocation For Sovereign Wealth Funds: Theory And Practiceen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper addresses management of sovereign wealth from the perspective of the theory of contingent claims. Starting with the sovereign's balance sheet, we frame sovereign fund management as an asset-liability management (ALM) problem, covering all public entities and taking explicit account of all sources of risks affecting government resources and expenditures. Real-life SWFs asset allocations differ strongly from theoretical ones. Financial management of the sovereign balance sheet is hampered by a lack of aggregate data, which compromises the coordination of sovereign wealth management with fiscal policy, monetary policy and public debt management. In this framework, we suggest institutional arrangements that could overcome this obstacle and enable efficient coordination.en
dc.relation.isversionofjnlnameBankers, markets & investors
dc.relation.isversionofjnlissue128en
dc.relation.isversionofjnldate2014-01
dc.relation.isversionofjnlpages49-54en
dc.relation.isversionofjnlpublisherGroupe Banqueen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.identifierhal-01492598*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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