Download or read book Optimal Asset Allocation for Sovereign Wealth Funds written by Zvi Bodie and published by . This book was released on 2013 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Optimal Asset Allocation for Commodity Sovereign Wealth Funds written by Alfonso A. Irarrazabal and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Economics of Sovereign Wealth Funds written by Mr.Udaibir S. Das and published by International Monetary Fund. This book was released on 2010-12-09 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book covers a wide range of topics of relevance to policymakers in countries that have sovereign wealth funds (SWFs) and those that receive SWF investments. Renowned experts in the field have contributed chapters. The book is organized around four themes: (1) the role and macrofinancial linkages of SWFs, (2) institutional factors, (3) investment approaches and financial markets, and (4) the postcrisis outlook. The book also discusses the challenges facing sovereign wealth funds in the coming years, from an inside perspective on countries, including Canada, Chile, China, Norway, Russia, and New Zealand. Economics of Sovereign Wealth Funds will contribute to a further understanding of the nature, strategies and behavior of SWFs and the environment in which they operate, as their importance is likely to grow in the coming years.

Download or read book Interest Rate Models Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds written by A. Berkelaar and published by Springer. This book was released on 2009-11-30 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.

Download or read book Investment Objectives of Sovereign Wealth Funds written by Jukka Pihlman and published by International Monetary Fund. This book was released on 2011-01-01 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: While SWF investment objectives to some extent reflect inherent characteristics, notable differences in strategic asset allocation (SAA) exist even amongst SWFs of similar types. Even so, this paper shows that the global crisis may have changed SWF’s asset allocations in ways that may not be ideal or justified in all cases and that a review of investment objectives may be warranted. It also argues for regular macro-risk assessments for the sovereign, the continued importance of SWFs as a stabilizer in international capital markets, as well as the active role they could play in international regulatory reform.

Download or read book The Palgrave Handbook of Sovereign Wealth Funds written by Harold Kent Baker and published by Springer Nature. This book was released on 2024 with total page 677 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Palgrave Handbook of Sovereign Wealth Funds provides a comprehensive, detailed analysis of these funds from a multidimensional perspective consisting of 33 chapters divided into seven sections. Section I provides background material about SWFs, providing a foundation for the remainder of the handbook. Section II examines various controversies, governance, and accountability topics involving SWFs. Section III discusses the political, legal, and tax aspects of SWFs. Section IV reviews numerous topics involving SWF management. Section V deals with SWFs' policies, preferences, and performance. Section VI provides descriptive analyses of SWFs based on country or region. It also offers a comparison of SWF similarities and differences across countries. Section VII concludes by examining special issues and the future of SWFs. This handbook spans the gamut from theoretical to practical while offering the right balance of detailed and user-friendly coverage. Discussion of relevant research permeates the handbook. Although other books are available on SWFs, few are as comprehensive or provide a multidimensional perspective from academics and practitioners. This handbook fills a gap by showing how SWFs are a growing and dynamic force in international finance.

Download or read book Macrofinancial Linkages of the Strategic Asset Allocation of Commodity Based Sovereign Wealth Funds written by Aaron Howard Clifford Brown and published by International Monetary Fund. This book was released on 2010-01-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic asset allocation (SAA) strategies with regard to the government budget, monetary policy, and exchange rate movements. Based on a simple Markowitz-model framework, which integrates the specific objectives and constraints facing an SWF and the country's specific characteristics and macroeconomic vulnerabilities (especially in relation to commodity prices and prospective defined liabilities), we derive an SAA. The asset-liability methodology that is applied in the selection of an SWF SAA also allows assessing whether (i) the SAA adequately takes into account the country-specific risks and vulnerabilities, and (ii) its objectives and macrofinancial constraints are consistent. Some analytical and practical issues in determining an SAA model are also discussed, along with key effects of a financial crisis.

Download or read book An Analysis of Sovereign Wealth Funds and International Real Estate Investments written by Pulkit Sharma and published by . This book was released on 2010 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent times Sovereign Wealth Funds (SWFs) have become an important source of international real estate investments. A number of reports predict the swelling of SWF combined assets from its current figure of $3-4 trillion to $8-12 trillion by 2015. It is also expected that a continuous growth in fiscal surpluses and accumulation of wealth by SWF nations may soon make the combined size of SWFs bigger than other capital market segments such as mutual funds and pension funds. This phenomenal projected growth in SWF assets has created an indispensable need to create and manage a diversified and robust international mixed-asset portfolio. This thesis investigates the relevance of real estate in the SWF portfolio from an execution strategy and portfolio hedging perspective. The real estate strategy section introduces SWFs and their real estate investment behavior and trends. The authors collected execution strategy data by conducting open-ended interviews with real estate leaders of four major SWFs that invest in real estate and nine senior executives representing global real estate investment management and consulting firms. The interview responses are used to understand several topics ranging from the investment objectives and risk spectrum to future trends in SWF real estate investments. The thesis findings reveal the synergies and differences in the views of the two communities and also describe the execution preferences of SWF investors from the purview of their international real estate portfolio. The portfolio-hedging section uses a macro-economic time series model based on long-term asset returns to determine the best hedges for four SWFs (Oil-based, China, Singapore and Korea) in three foreign destinations namely the UK, the US and Japan considering real estate and stocks as the two asset classes. The vector auto-regression (VAR) model presents an extended time series analysis that tests correlations, Granger causality and impulse responses between different home asset and foreign destination pairs. The thesis further illustrates through a simple stylized sub-portfolio analysis the optimal asset allocation between stocks, long-term bonds and real estate for the above combinations. The results show evidence that foreign real estate is an effective hedge against the changes in the home source of wealth for most SWFs. The time series hedging model is fed by long-term asset return data and can be replicated for other SWFs to determine their unique investment strategy. Further, the findings challenge the low allocations given by SWFs to real estate in their global portfolio.

Download or read book Sovereign Wealth Funds written by Abdullah Al-Hassan and published by International Monetary Fund. This book was released on 2013-11-11 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents in a systematic (normative) manner the salient features of a SWF‘s governance structure, in relation to its objectives and investment management that can ensure its efficient operation and enhance its financial performance. In this context, it distinguishes among the various governing bodies and analyzes key aspects of the investment policy and setting of the risk tolerance level in order to ensure consistent risk-bearing capacity and greater accountability. Further, it discusses the important role of SWFs in macroeconomic management and the need for close coordination with other macroeconomic and financial policies as well as their role in global financial stability.

Download or read book The Oxford Handbook of Sovereign Wealth Funds written by Douglas J. Cumming and published by Oxford University Press. This book was released on 2017-10-26 with total page 739 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sovereign Wealth Funds (SWFs) represent both an increasingly important - and potentially dominant - category of alternative investor, and a novel form for governments to project their interests both home and abroad. As such, they represent both economic actors and embody power vested in the financial and diplomatic resources they can leverage. Although at times they have acted in concert with other alternative investors, their intergenerational savings function should, in theory at least, promote more long-termist thinking. However, they may be impelled in towards greater short termism, in response to popular pressures, demands from predatory elites and/or unforeseen external shocks. Of all the categories of alternative investment, SWFs perhaps embody the most contradictory pressures, making for diverse and complex outcomes. The aim of this volume is to consolidate the present state of the art, and advance the field through new applied, conceptual and theoretical insights. The volume is ordered into chapters that explore thematic issues and country studies, incorporating novel insights in on the most recent developments in the SWF ecosystem. This handbook is organized into four sections and 23 chapters. The four sections are: Governance of SWFs, Political and Legal Aspects of SWFs, Investment Choices and Structures of SWFs, Country and Regional Analyses of SWFs.

Download or read book Asset Allocation and Private Markets written by Cyril Demaria and published by John Wiley & Sons. This book was released on 2021-03-03 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: The comprehensive guide to private market asset allocation Asset Allocation and Private Markets provides institutional investors, such as pension funds, insurance groups and family offices, with a single-volume authoritative resource on including private markets in strategic asset allocation. Written by four academic and practitioner specialists, this book provides the background knowledge investors need, coupled with practical advice from experts in the field. The discussion focuses on private equity, private debt and private real assets, and their correlation with other asset classes to establish optimized investment portfolios. Armed with the grounded and critical perspectives provided in this book, investors can tailor their portfolio and effectively allocate assets to traditional and private markets in their best interest. In-depth discussion of return, risks, liquidity and other factors of asset allocation takes a more practical turn with guidance on allocation construction and capital deployment, the “endowment model,” and hedging — or lack thereof. Unique in the depth and breadth of information on this increasingly attractive asset class, this book is an invaluable resource for investors seeking new strategies. Discover alternative solutions to traditional asset allocation strategies Consider attractive returns of private markets Delve into private equity, private debt and private real assets Gain expert perspectives on correlation, risk, liquidity, and portfolio construction Private markets represent a substantial proportion of global wealth. Amidst disappointing returns from stocks and bonds, investors are increasingly looking to revitalise traditional asset allocation strategies by weighting private market structures more heavily in their portfolios. Pension fund and other long-term asset managers need deeper information than is typically provided in tangential reference in broader asset allocation literature; Asset Allocation and Private Markets fills the gap, with comprehensive information and practical guidance.

Download or read book Optimal Reserve Holdings Strategic Asset Allocation and Multiple goal Investment Plan for Sovereign Wealth Fund of China written by Li Xie and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Practical Guide to Sovereign Wealth Funds written by Adnan Hassan and published by Euromoney Publications. This book was released on 2009 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This much-needed practical guide covers everything you need to further your understanding of sovereign wealth funds (SWFs) - the state-owned investment funds.

Download or read book The Oxford Handbook of Quantitative Asset Management written by Bernd Scherer and published by Oxford University Press. This book was released on 2012 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.

Download or read book Sovereign Wealth and Risk Management written by Zvi Bodie and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sets out an analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claims analysis applied to the sovereigns economic balance sheet. A country solves an asset-liability management problem involving its sources of income and its expenditures. We derive analytically the optimal asset allocation of sovereign wealth, taking explicit account of all sources of risks affecting the sovereigns balance sheet. The optimal composition of sovereign wealth should involve a performance-seeking portfolio and three hedging demand terms for the variability of the fiscal surplus and external and domestic debt. A real-life application of our model in the case of Chile shows that its sovereign investment is under-diversified.

Download or read book Asset Allocation in Sovereign Wealth Funds written by Agil Samadov and published by . This book was released on 2011 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Integrated Approach to Sovereign Wealth Risk Management written by and published by . This book was released on 2011 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Sovereign wealth funds (SWFs) typically have no direct earmarked liabilities. Nor should they, as the financial asset they represent is only part of total sovereign assets, which in turn guarantee all sovereign liabilities. The objective of this paper is to incorporate the economic balance sheet of the sovereign sponsor into the optimal asset allocation problem of the SWF. This paper outlines an easy to implement solution that nests well in the literature on SWFs. We show that economic leverage will reduce speculative demand but leave hedging demand (against fluctuations in the net fiscal position of the sovereign state)unchanged. We also show how to extend our one-period methodology to a multi-period context by solving a dynamic stochastic programme. Allowing for optimal dynamic decision making increases the amount of equity risk an SWF can take. The advantage is greatest for large values of economic leverage. Finally, we conclude that narrow tactical asset allocation ranges limit the SWF's ability to manage its risks."--Abstract.