IDEAS home Printed from https://ideas.repec.org/a/fru/finjrn/180102p26-38.html
   My bibliography  Save this article

Optimization of the Russian Gold and Foreign Exchange Reserves Structure Using the Black-Litterman Model

Author

Listed:
  • Igor S. Ivanchenko
  • Dennis Danso Osei

    (Rostov State University of Economics, Rostov-on-Don, Russia Title: Optimization of the Russian International Reserves Structure Using the Black-Litterman Model)

Abstract

The article describes the results of optimizing the portfolio of Russia’s international reserves using the Black-Litterman model based on the minimum risk and maximum yield criteria.

Suggested Citation

  • Igor S. Ivanchenko & Dennis Danso Osei, 2018. "Optimization of the Russian Gold and Foreign Exchange Reserves Structure Using the Black-Litterman Model," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 26-38, February.
    • Handle: RePEc:fru:finjrn:180102:p:26-38
    DOI: 10.31107/2075-1990-2018-1-26-38
    as

    Download full text from publisher

    File URL: http://www.nifi.ru/images/FILES/Journal/Archive/2018/1/statii_2018_1/fm_2018_1__02.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.31107/2075-1990-2018-1-26-38?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Claudio Borio & Gabriele Galati & Alexandra Heath, 2008. "FX reserve management: trends and challenges," BIS Papers, Bank for International Settlements, number 40.
    2. Aideen Morahan & Mr. Christian B. Mulder, 2013. "Survey of Reserve Managers: Lessons from the Crisis," IMF Working Papers 2013/099, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mario Alejandro Acosta R., 2014. "Las acciones como activo de reserva para el Banco de la República," Documentos CEDE 11004, Universidad de los Andes, Facultad de Economía, CEDE.
    2. Francois John Nana, 2020. "Foreign official holdings of US treasuries, stock effect and the economy: a DSGE approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(1), pages 1-28, January.
    3. Marie Brière & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2016. "Towards greater diversification in central bank reserves," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 295-312, July.
    4. Pierre Bui Quang, 2018. "The effect of non-resident investments on the French sovereign spread," EconomiX Working Papers 2018-52, University of Paris Nanterre, EconomiX.
    5. Fabio Filipozzi & Kersti Harkmann, 2014. "Currency hedge – walking on the edge?," Bank of Estonia Working Papers wp2014-5, Bank of Estonia, revised 10 Oct 2014.
    6. Alina Iancu & Gareth Anderson & Sakai Ando & Ethan Boswell & Andrea Gamba & Shushanik Hakobyan & Lusine Lusinyan & Neil Meads & Yiqun Wu, 2022. "Reserve Currencies in an Evolving International Monetary System," Open Economies Review, Springer, vol. 33(5), pages 879-915, November.
    7. Delphine Lahet & Stéphanie Prat, 2021. "Internationalisation of emerging market currencies and original sin: Empirical evidence," The World Economy, Wiley Blackwell, vol. 44(7), pages 1973-2003, July.
    8. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    9. Beltran, Daniel O. & Kretchmer, Maxwell & Marquez, Jaime & Thomas, Charles P., 2013. "Foreign holdings of U.S. Treasuries and U.S. Treasury yields," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1120-1143.
    10. Bradley Jones, 2018. "Central Bank Reserve Management and International Financial Stability—Some Post-Crisis Reflections," IMF Working Papers 2018/031, International Monetary Fund.
    11. Torinelli, Viviane Helena & Silva Júnior, Antônio Francisco de Almeida da, 2021. "Environmental risk analysis (ERA) in the strategic asset allocation (SAA) of the international reserves (IRs) managed by central banks (CBs)," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(1).
    12. Mr. Michael G. Papaioannou & Mr. Joonkyu Park & Jukka Pihlman & Han van der Hoorn, 2013. "Procyclical Behavior of Institutional Investors During the Recent Financial Crisis: Causes, Impacts, and Challenges," IMF Working Papers 2013/193, International Monetary Fund.

    More about this item

    Keywords

    international reserves; optimization of the asset portfolio; the Black-Litterman model;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fru:finjrn:180102:p:26-38. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gennady Ageev (email available below). General contact details of provider: https://edirc.repec.org/data/frigvru.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.