dc.contributor.author | Irarrazabal Flores, Alfonso | |
dc.contributor.author | Ma, Lin | |
dc.contributor.author | Parra-Alvarez, Juan Carlos | |
dc.date.accessioned | 2024-02-22T09:52:29Z | |
dc.date.available | 2024-02-22T09:52:29Z | |
dc.date.created | 2023-04-13T10:42:30Z | |
dc.date.issued | 2023 | |
dc.identifier.citation | Quantitative finance (Print). 2023, 23 (3), 471-495. | en_US |
dc.identifier.issn | 1469-7688 | |
dc.identifier.uri | https://hdl.handle.net/11250/3119228 | |
dc.description.abstract | 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 revenues until a predetermined date, the optimal consumption and investment strategies are state and time-dependent. Using data from the Norwegian Petroleum Fund, we find that the optimal demand for equity should decrease gradually from 60% to 40% 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. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Taylor&Francis | en_US |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.subject | Optimal asset allocation | en_US |
dc.subject | Sovereign wealth fund | en_US |
dc.subject | Commodities | en_US |
dc.subject | Income risk | en_US |
dc.subject | Suboptimal investments | en_US |
dc.title | Optimal asset allocation for commodity sovereign wealth funds | en_US |
dc.title.alternative | Optimal asset allocation for commodity sovereign wealth funds | en_US |
dc.type | Peer reviewed | en_US |
dc.type | Journal article | en_US |
dc.description.version | publishedVersion | en_US |
dc.source.pagenumber | 471-495 | en_US |
dc.source.volume | 23 | en_US |
dc.source.journal | Quantitative finance (Print) | en_US |
dc.source.issue | 3 | en_US |
dc.identifier.doi | 10.1080/14697688.2022.2158918 | |
dc.identifier.cristin | 2140510 | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |