Titre : |
Dynamic Asset Allocation for Oil-based SovereignWealth Funds: Hedging Demands and International Diversification Effects |
Type de document : |
texte imprimé |
Auteurs : |
Ameur, Brahim, Auteur ; Menaguer, Noureddine, Auteur |
Editeur : |
Université tlemcen |
Année de publication : |
2016 |
Importance : |
158 p. |
Présentation : |
ill. |
Format : |
30 cm |
Accompagnement : |
cd |
Langues : |
Anglais (eng) Langues originales : Anglais (eng) |
Résumé : |
The goal of this study is finding the dynamic asset allocation strategy for oil-based
sovereign wealth funds. We have investigated the intertemporal hedging demands for assets
for SWF in the U.S., and Canada, which can invest domestically and internationally.
Using an Epstein-Zin-Weil utility function, where the dynamics governing asset returns are
described by a vector autoregressive process.
Our findings stress the importance of the mean intertemporal hedging demands for domestic
stocks in the U.S. and to smaller extinct in Canada. A SWF in the U.S. displays small
mean intertemporal hedging demands for foreign assets, while SWF in Canada exhibits sizable
mean hedging demands for U.S. stocks. The international diversification seems more
beneficial in Canada than U.S. |
Dynamic Asset Allocation for Oil-based SovereignWealth Funds: Hedging Demands and International Diversification Effects [texte imprimé] / Ameur, Brahim, Auteur ; Menaguer, Noureddine, Auteur . - Université tlemcen, 2016 . - 158 p. : ill. ; 30 cm + cd. Langues : Anglais ( eng) Langues originales : Anglais ( eng)
Résumé : |
The goal of this study is finding the dynamic asset allocation strategy for oil-based
sovereign wealth funds. We have investigated the intertemporal hedging demands for assets
for SWF in the U.S., and Canada, which can invest domestically and internationally.
Using an Epstein-Zin-Weil utility function, where the dynamics governing asset returns are
described by a vector autoregressive process.
Our findings stress the importance of the mean intertemporal hedging demands for domestic
stocks in the U.S. and to smaller extinct in Canada. A SWF in the U.S. displays small
mean intertemporal hedging demands for foreign assets, while SWF in Canada exhibits sizable
mean hedging demands for U.S. stocks. The international diversification seems more
beneficial in Canada than U.S. |
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