- Rupture de stock
Société Editions ESKA
Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice [extrait BMI 128]
- Donnez votre avis
50,00 €
TTC
Version numérique PDF
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.Keywords: Asset-Liability Management; Balance Sheet; Contingent Claim Analysis; Sovereign Wealth Funds; Central Bank Reserves.JEL codes: G11; G18; H11; H50; H63.Auteurs :Bodie Zvi
Extrait de la revue BMI 128
BMI128-1116210
Nouveau
16 autres produits dans la même catégorie :
![Edito [extrait BMI 129]](https://eska-publishing.com/10888-home_default/edito-extrait-bmi-129-.jpg)
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Editor’s letter
- HFT and Market Quality
- On the Financial Performance of Socially Responsible Investments
- Pension Reform in The Netherlands: Attractive Options for other Countries?
- French Pensions Framework in an International Perspective
- Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice
- Asset Class Liquidity Risk
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Testing the Profitability of Contrarian Trading Strategies Based on the Overreaction Hypothesis
- Evaluating UCITS Compliant Hedge Fund Performance
- Do Cooperative Banks Have Greater Market Power?
- In which Media are Analysts’ Recommendations most Followed?
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- What Maximum Fees Should Investors Pay to Active Fund Managers?
- How does the Market Price of the Corporate Sponsor React to Socially Responsible Fund Introductions?
- Pricing, Hedging and Assessing Risk in a General Lévy Context
- The Performance Implications of Business Group Affi liation for Small Businesses
- Introducing to Risk Parity and Budgeting
Availability: Out of stock
Availability: Out of stock