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Optimal Asset Allocation For Sovereign Wealth Funds: Theory And Practice

Brière, Marie; Bodie, Zvi (2014), Optimal Asset Allocation For Sovereign Wealth Funds: Theory And Practice, Bankers, markets & investors, 128, p. 49-54

Type
Article accepté pour publication ou publié
Date
2014-01
Journal name
Bankers, markets & investors
Number
128
Publisher
Groupe Banque
Pages
49-54
Metadata
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Author(s)
Brière, Marie

Bodie, Zvi
Abstract (EN)
This 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.
Subjects / Keywords
Asset-Liability Management; Balance Sheet; Central Bank Reserves; Contingent Claim Analysis; Sovereign Wealth Funds
JEL
G11 - Portfolio Choice; Investment Decisions
G18 - Government Policy and Regulation
H11 - Structure, Scope, and Performance of Government
H50 - General
H63 - Debt; Debt Management; Sovereign Debt

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