Optimal asset allocation and consumption rules for commodity-based sovereign wealth funds

الملخص EN

This paperstudiestheoptimalassetallocationforasovereignwealthfund(SWF)subject to astochasticstreamofcommodity-basedincome,where,withoutlossofgenerality,wefocus on oil-basedSWFs.UsingCRRAutility,weassumethefundsobjectiveistomaximizethe discountedutilityofintertemporalconsumptioninthepresenceoftime-varyinginvestment opportunities,andgivennon-zerocorrelationsbetweenshockstooilincomeandassetreturn innovations.Weusethelog-linearapproximationmethodofCampbell(1993)tosolveforthe modelsoptimalassetallocationandconsumptionrules.Usinghistoricaldata,weestimatethe modelparametersusingthemaximization-by-partsalgorithmofSongetal.(2005).Wethen calibratethemodeltostudytheoptimalallocationandconsumptionforvaryinglevelsofrisk aversion,timepreferenceandoilincomevolatility.OurresultsareofinteresttoSWFsseeking optimal portfoliochoiceinthefaceofchanginginvestmentopportunitieswhichcorrelatewith theirstochasticstreamofincome.