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dc.contributor.authorBodie, Zvi
dc.contributor.authorBrière, Marie
dc.date.accessioned2012-01-13T10:09:57Z
dc.date.available2012-01-13T10:09:57Z
dc.date.issued2011-02
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7874
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.classificationjelH63en
dc.subject.classificationjelH50en
dc.subject.classificationjelH11en
dc.subject.classificationjelG18en
dc.subject.classificationjelG11en
dc.titleSovereign Wealth and Risk Management. A New Framework for Optimal Asset Allocation of Sovereign Wealthen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherBoston University;États-Unis
dc.contributor.editoruniversityotherUniversité Libre de Bruxelles;Belgique
dc.description.abstractenThis paper sets out a new analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claim ana lysis (CCA) applied to the sovereign’s economic balance sheet. A country solves an asset-l iability management (ALM) problem between its sources of income and its expenditures. We derive analytically the optimal asset allocation of sovereign wealth, taking explic it account of all sources of risks affecting the sovereign’s balance sheet. The optima l 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. Our results provide guidance for sovereign wealth management, particula rly with respect to sovereign wealth funds and foreign exchange reserves. A real-life ap plication of our model in the case of Chile shows that at least 60% of the Chilean asset allocation should be dedicated to emerging bonds, developed and emerging equities. Ch ile’s current sovereign investment is under-diversified.en
dc.identifier.citationpages47en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle30th International French Finance Association Conference
dc.relation.confdate2013-05
dc.relation.confcityLyon
dc.relation.confcountryFrance


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