Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice
Zvi Bodie () and
Marie Brière ()
Bankers, Markets & Investors, 2014, issue 128, 49-54
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.
Keywords: Asset-Liability Management; Balance Sheet; Contingent Claim Analysis; Sovereign Wealth Funds; Central Bank Reserves (search for similar items in EconPapers)
JEL-codes: G11 G18 H11 H50 H63 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Working Paper: Optimal Asset Allocation For Sovereign Wealth Funds: Theory And Practice (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rbq:journl:i:128:p:49-54
Ordering information: This journal article can be ordered from
12 rue du Quatre-Septembre, 75002 PARIS France
Access Statistics for this article
More articles in Bankers, Markets & Investors from ESKA Publishing
Bibliographic data for series maintained by Marise Urbano ().