Research and publications

Asset-Liability Management Decisions For Sovereign Wealth Funds

This paper proposes a quantitative dynamic asset allocation framework for sovereign wealth funds, modelled as large long-term investors that manage fluctuating revenues typically emanating from bud ...

Author(s) :

Lionel Martellini, Vincent Milhau

Summary :

This paper proposes a quantitative dynamic asset allocation framework for sovereign wealth funds, modelled as large long-term investors that manage fluctuating revenues typically emanating from budget or trade surpluses in the presence of stochastic investment opportunity sets. The optimal asset allocation strategy takes into account the stochastic features of the sovereign fund endowment process (where the money is coming from), the stochastic features of the sovereign fund's expected liability value (what the money is going to be used for), and the stochastic features of the assets held in its portfolio.

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Type : EDHEC Publication
Date : 26/10/2010
Keywords :

Investment Management