IDEAS home Printed from https://ideas.repec.org/a/kap/fmktpm/v23y2009i3p315-327.html
   My bibliography  Save this article

A note on portfolio choice for sovereign wealth funds

Author

Listed:
  • Bernd Scherer

Abstract

No abstract is available for this item.

Suggested Citation

  • Bernd Scherer, 2009. "A note on portfolio choice for sovereign wealth funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 315-327, September.
    • Handle: RePEc:kap:fmktpm:v:23:y:2009:i:3:p:315-327
    DOI: 10.1007/s11408-009-0105-2
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11408-009-0105-2
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s11408-009-0105-2?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Massimo Guidolin, University of Virginia & Allan Timmermann, 2004. "Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching," Econometric Society 2004 Australasian Meetings 349, Econometric Society.
    2. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
    3. Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004. "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2195-2214, October.
    4. Driesprong, Gerben & Jacobsen, Ben & Maat, Benjamin, 2008. "Striking oil: Another puzzle?," Journal of Financial Economics, Elsevier, vol. 89(2), pages 307-327, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. J. Amar & M. Arouri & G. Dufrénot & C. Lecourt, 2024. "Determinants of partial versus full cross-border acquisitions for Sovereign Wealth Funds," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 160(2), pages 509-539, May.
    2. repec:dau:papers:123456789/7874 is not listed on IDEAS
    3. Moutanabbir, Khouzeima & Noureldin, Diaa, 2020. "Optimal asset allocation and consumption rules for commodity-based sovereign wealth funds," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 708-730.
    4. Chahir Zaki & Raimundo Soto & Ibrahim El Badawi, 2018. "Sovereign Wealth Funds, Cross-Border Investment Bias and Institutions: The Case of Arab Countries2," Working Papers 1173, Economic Research Forum, revised 25 Mar 2008.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Meenagh, David & Minford, Patrick & Peel, David, 2007. "Simulating stock returns under switching regimes - A new test of market efficiency," Economics Letters, Elsevier, vol. 94(2), pages 235-239, February.
    2. Gabriel Vasco J. & Alexandre Fernando & Bação Pedro, 2008. "The Consumption-Wealth Ratio under Asymmetric Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-32, December.
    3. Pan, Zhiyuan & Pettenuzzo, Davide & Wang, Yudong, 2020. "Forecasting stock returns: A predictor-constrained approach," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 200-217.
    4. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017. "The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test," Emerging Markets Review, Elsevier, vol. 30(C), pages 66-95.
    6. Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "What drives asymmetric dependence structure of asset return comovements?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 312-330.
    7. Chan, Kam Fong & Treepongkaruna, Sirimon & Brooks, Robert & Gray, Stephen, 2011. "Asset market linkages: Evidence from financial, commodity and real estate assets," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1415-1426, June.
    8. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
    9. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
    10. Wang, Yudong & Pan, Zhiyuan & Wu, Chongfeng & Wu, Wenfeng, 2020. "Industry equi-correlation: A powerful predictor of stock returns," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 1-24.
    11. Klaus Grobys, 2012. "Active PortofolioManagement in the Presence of Regime Switching: What Are the Benefits of Defensive Asset Allocation Strategies If the Investor Faces Bear Markets?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 015-031, June.
    12. Wang, Yudong & Wei, Yu & Wu, Chongfeng & Yin, Libo, 2018. "Oil and the short-term predictability of stock return volatility," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 90-104.
    13. Faria, Gonçalo & Verona, Fabio, 2023. "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers 1/2023, Bank of Finland.
    14. Papapostolou, Nikos C. & Pouliasis, Panos K. & Nomikos, Nikos K. & Kyriakou, Ioannis, 2016. "Shipping investor sentiment and international stock return predictability," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 96(C), pages 81-94.
    15. Jia Liu & John M. Maheu & Yong Song, 2024. "Identification and forecasting of bull and bear markets using multivariate returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 723-745, August.
    16. Alexey Mikhaylov, 2019. "Oil and Gas Budget Revenues in Russia after Crisis in 2015," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 375-380.
    17. Lee, Hsiang-Tai, 2022. "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, vol. 50(C).
    18. Mohamed Albaity & Ray Saadaoui Mallek & Hasan Mustafa, 2022. "Bank Stock Return Reactions to the COVID-19 Pandemic: The Role of Investor Sentiment in MENA Countries," Risks, MDPI, vol. 10(2), pages 1-15, February.
    19. Ahmed, Walid M.A., 2018. "On the interdependence of natural gas and stock markets under structural breaks," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 149-161.
    20. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011. "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3253-3262.

    More about this item

    Keywords

    Sovereign wealth fund; Vector autoregression; Oil price shock; Three-fund separation; Portfolio choice; E32; F34; G11;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:fmktpm:v:23:y:2009:i:3:p:315-327. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.