IDEAS home Printed from https://ideas.repec.org/a/rbq/journl/i128p49-54.html
   My bibliography  Save this article

Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice

Author

Listed:
  • Zvi Bodie

    (Boston University)

  • Marie Brière

    (Amundi
    Université Paris Dauphine
    Université Libre de Bruxelles)

Abstract

This paper addresses management of sovereign wealth from the perspective of the theory of contingent claims.Starting with the sovereign’s balance sheet, we frame sovereign fund management as an asset-liability management (ALM) problem, covering all public entities and taking explicit account of all sources of risks affecting government resources and expenditures. Real-life SWFs asset allocations differ strongly from theoretical ones. Financial management of the sovereign balance sheet is hampered by a lack of aggregate data, which compromises the coordination of sovereign wealth management with fiscal policy, monetary policy and public debt management. In this framework, we suggest institutional arrangements that could overcome this obstacle and enable efficient coordination.

Suggested Citation

  • Zvi Bodie & Marie Brière, 2014. "Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice," Bankers, Markets & Investors, ESKA Publishing, issue 128, pages 49-54, January.
  • Handle: RePEc:rbq:journl:i:128:p:49-54
    as

    Download full text from publisher

    File URL: http://www.revue-banque.fr/medias/content/users/christine/1389197947477.pdf
    Download Restriction: no

    Other versions of this item:

    More about this item

    Keywords

    Asset-Liability Management; Balance Sheet; Contingent Claim Analysis; Sovereign Wealth Funds; Central Bank Reserves;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • H11 - Public Economics - - Structure and Scope of Government - - - Structure and Scope of Government
    • H50 - Public Economics - - National Government Expenditures and Related Policies - - - General
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

    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:rbq:journl:i:128:p:49-54. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marise Urbano). General contact details of provider: http://www.eska.fr/ .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.