Show simple item record

dc.contributor.authorBrière, Marie
dc.contributor.authorOosterlinck, Kim
dc.contributor.authorSzafarz, Ariane
dc.contributor.authorMignon, Valérie
dc.date.accessioned2019-10-14T12:41:38Z
dc.date.available2019-10-14T12:41:38Z
dc.date.issued2016
dc.identifier.issn1470-8272
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20139
dc.language.isoenen
dc.subjectforeign exchange reservesen
dc.subjectdiversificationen
dc.subjectasset allocationen
dc.subject.ddc332en
dc.subject.classificationjelF.F3.F31en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelE.E5.E58en
dc.titleTowards Greater Diversification in Central Bank Reservesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article compares the performance of various diversification strategies regarding foreign exchange reserves. The aim is to provide central banks with guidelines in portfolio allocation. We pay particular attention to the situation of upward pressures on US interest rates by implementing our analysis over both the whole 1986–2015 period and a rising rate subsample. Relying on geometric tests of mean-variance efficiency, we show that introducing currencies weakly correlated to the USD (AUD and CAD) significantly reduces portfolio risk. Expected return is improved through mortgage-backed securities, corporate bonds and equities.en
dc.relation.isversionofjnlnameJournal of Asset Management
dc.relation.isversionofjnlvol17en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages295-312en
dc.relation.isversionofdoi10.1057/jam.2016.14en
dc.relation.isversionofjnlpublisherPalgraveen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-09-30T15:16:05Z
hal.person.labIds163511
hal.person.labIds218169
hal.person.labIds104113$$$218169$$$234014$$$234015
hal.person.labIds39083
hal.identifierhal-02315436*


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record