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Optimization of the Russian Gold and Foreign Exchange Reserves Structure Using the Black-Litterman Model

Author

Listed:
  • Igor S. Ivanchenko
  • Dennis Danso Osei

    (Rostov State University of Economics, Rostov-on-Don, Russia Title: Optimization of the Russian International Reserves Structure Using the Black-Litterman Model)

Abstract

The article describes the results of optimizing the portfolio of Russia’s international reserves using the Black-Litterman model based on the minimum risk and maximum yield criteria.

Suggested Citation

  • Igor S. Ivanchenko & Dennis Danso Osei, 2018. "Optimization of the Russian Gold and Foreign Exchange Reserves Structure Using the Black-Litterman Model," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 26-38, February.
    • Handle: RePEc:fru:finjrn:180102:p:26-38
    DOI: 10.31107/2075-1990-2018-1-26-38
    as

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    References listed on IDEAS

    as
    1. Aideen Morahan & Mr. Christian B. Mulder, 2013. "Survey of Reserve Managers: Lessons from the Crisis," IMF Working Papers 2013/099, International Monetary Fund.
    2. Claudio Borio & Gabriele Galati & Alexandra Heath, 2008. "FX reserve management: trends and challenges," BIS Papers, Bank for International Settlements, number 40.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    international reserves; optimization of the asset portfolio; the Black-Litterman model;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

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