A note on portfolio choice for sovereign wealth funds
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Bibliographic InfoArticle provided by Springer in its journal Financial Markets and Portfolio Management.
Volume (Year): 23 (2009)
Issue (Month): 3 (September)
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Web page: http://www.springerlink.com/link.asp?id=119763
Sovereign wealth fund; Vector autoregression; Oil price shock; Three-fund separation; Portfolio choice; E32; F34; G11;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Viceira, Luis & Rodriguez, Jorge & Chacko, George & Campbell, John, 2004.
"Strategic Asset Allocation in a Continuous-Time VAR Model,"
3294738, Harvard University Department of Economics.
- Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004. "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2195-2214, October.
- John Y. Campbell & George Chacko & Jorge Rodriguez & Luis M. Viciera, 2003. "Strategic Asset Allocation in a Continuous-Time VAR Model," NBER Working Papers 9547, National Bureau of Economic Research, Inc.
- Campbell, John Y & Chacko, George & Rodriguez, Jorge & Viceira, Luis M, 2003. "Strategic Asset Allocation in a Continuous Time VAR Model," CEPR Discussion Papers 4160, C.E.P.R. Discussion Papers.
- Massimo Guidolin, University of Virginia & Allan Timmermann, 2004. "Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching," Econometric Society 2004 Australasian Meetings 349, Econometric Society.
- Driesprong, Gerben & Jacobsen, Ben & Maat, Benjamin, 2008. "Striking oil: Another puzzle?," Journal of Financial Economics, Elsevier, vol. 89(2), pages 307-327, August.
- Bodie, Zvi & Brière, Marie, 2013. "Sovereign Wealth and Risk Management. A New Framework for Optimal Asset Allocation of Sovereign Wealth," Economics Papers from University Paris Dauphine 123456789/7874, Paris Dauphine University.
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