Veuillez utiliser cette adresse pour citer ce document : http://dspace1.univ-tlemcen.dz/handle/112/12566
Titre: Dynamic Asset Allocation for Oil based SovereignWealth_Funds Hedging Demands and International Diversification Effects
Auteur(s): Ameur, Brahim
Mots-clés: Dynamic asset allocation, sovereign wealth funds, hedging demands, international diversification.
Date de publication: jui-2016
Editeur: university of tlemcen
Collection/Numéro: 2015-2016
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.
URI/URL: http://dspace.univ-tlemcen.dz/handle/112/12566
Collection(s) :Magistere en Management

Fichier(s) constituant ce document :
Fichier Description TailleFormat 
Dynamic_Asset_Allocation_for_Oil-based_SovereignWealth_Funds:_Hedging_Demands_and_International_Diversification_Effects2,19 MBAdobe PDFVoir/Ouvrir


Tous les documents dans DSpace sont protégés par copyright, avec tous droits réservés.