Blar i CICERO Research Archive på forfatter "Irarrazabal Flores, Alfonso"
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Optimal asset allocation for commodity sovereign wealth funds
Irarrazabal Flores, Alfonso; Ma, Lin; Parra-Alvarez, Juan Carlos (Peer reviewed; Journal article, 2023)This paper studies the dynamic asset allocation problem faced by an infinitively lived commodity-based sovereign wealth fund under incomplete markets. Assuming that the fund receives a non-tradable stream of commodity ...