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dc.contributor.authorIrarrazabal Flores, Alfonso
dc.contributor.authorMa, Lin
dc.contributor.authorParra-Alvarez, Juan Carlos
dc.date.accessioned2024-02-22T09:52:29Z
dc.date.available2024-02-22T09:52:29Z
dc.date.created2023-04-13T10:42:30Z
dc.date.issued2023
dc.identifier.citationQuantitative finance (Print). 2023, 23 (3), 471-495.en_US
dc.identifier.issn1469-7688
dc.identifier.urihttps://hdl.handle.net/11250/3119228
dc.description.abstractThis 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.isoengen_US
dc.publisherTaylor&Francisen_US
dc.rightsNavngivelse 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/deed.no*
dc.subjectOptimal asset allocationen_US
dc.subjectSovereign wealth funden_US
dc.subjectCommoditiesen_US
dc.subjectIncome risken_US
dc.subjectSuboptimal investmentsen_US
dc.titleOptimal asset allocation for commodity sovereign wealth fundsen_US
dc.title.alternativeOptimal asset allocation for commodity sovereign wealth fundsen_US
dc.typePeer revieweden_US
dc.typeJournal articleen_US
dc.description.versionpublishedVersionen_US
dc.source.pagenumber471-495en_US
dc.source.volume23en_US
dc.source.journalQuantitative finance (Print)en_US
dc.source.issue3en_US
dc.identifier.doi10.1080/14697688.2022.2158918
dc.identifier.cristin2140510
cristin.ispublishedtrue
cristin.fulltextoriginal
cristin.qualitycode1


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Navngivelse 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Navngivelse 4.0 Internasjonal