Optimal Asset Allocation for Commodity Sovereign Wealth Funds

Autor:	Juan Carlos Parra-Alvarez, Alfonso Irarrazabal, Lin Ma
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	Sovereign wealth fund Commodities Optimal asset allocation Suboptimal investments Income risk
Zdroj:	Irarrazabal, A, Ma, L & Parra-Alvarez, J C 2020 ' Optimal Asset Allocation for Commodity Sovereign Wealth Funds ' CREATES Research Paper, no. 2020-10, Institut for Økonomi, Aarhus Universitet, Aarhus . Aalborg University
Popis:	This paper studies the dynamic asset allocation problem faced by an infinitively-lived commodity-based sovereign wealth fund under incomplete markets. Since the non-tradable stream of commodity revenues is finite, the optimal consumption and investment strategies are time dependent. Using data from the Norwegian Petroleum Fund, we find that the optimal demand for equity should decrease gradually from 60 to 40 percent over the next 60 years. However, the solution is particularly sensitive to the correlation between oil and stock price changes. We also estimate wealth-equivalent welfare losses, relative to the optimal rule, when following alternative suboptimal investment rules.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::829a1c402378b8bd3d50e50ab133b2a2 https://pure.au.dk/ws/files/195931999/rp20_10.pdf Zobrazit plný text záznamu