A note on portfolio choice for sovereign wealth funds
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References listed on IDEAS
- 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.
- 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.
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- Driesprong, Gerben & Jacobsen, Ben & Maat, Benjamin, 2008. "Striking oil: Another puzzle?," Journal of Financial Economics, Elsevier, vol. 89(2), pages 307-327, August.
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More about this item
KeywordsSovereign wealth fund; Vector autoregression; Oil price shock; Three-fund separation; Portfolio choice; E32; F34; G11;
- 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
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