Optimal asset allocation and consumption rules for commodity-based sovereign wealth funds
Joint Authors
Mutanabbir, Khuzaymah
Nur al-Din, Diya
Source
Economic Research Forum : Working Paper Series
Issue
Vol. 2018, Issue 1172-1274 (31 Dec. 2018)40 p.
Publisher
Economic Research Forum for the Arab Countries Iran and Turkey
Publication Date
2018-12-31
Country of Publication
Egypt
No. of Pages
40
Main Subjects
Topics
Abstract 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.
American Psychological Association (APA)
Mutanabbir, Khuzaymah& Nur al-Din, Diya. 2018. Optimal asset allocation and consumption rules for commodity-based sovereign wealth funds. Economic Research Forum : Working Paper Series،Vol. 2018, no. 1172-1274.
https://search.emarefa.net/detail/BIM-836173
Modern Language Association (MLA)
Mutanabbir, Khuzaymah& Nur al-Din, Diya. Optimal asset allocation and consumption rules for commodity-based sovereign wealth funds. Economic Research Forum : Working Paper Series No. 1172-1274 (Dec. 2018).
https://search.emarefa.net/detail/BIM-836173
American Medical Association (AMA)
Mutanabbir, Khuzaymah& Nur al-Din, Diya. Optimal asset allocation and consumption rules for commodity-based sovereign wealth funds. Economic Research Forum : Working Paper Series. 2018. Vol. 2018, no. 1172-1274.
https://search.emarefa.net/detail/BIM-836173
Data Type
Journal Articles
Language
English
Notes
Includes appendices : p. 31-37
Record ID
BIM-836173
