Borradores de Economia
Número:
645
Publicado:
Clasificación JEL:
G11, E58, C11, C61
Palabras clave:
Foreign reserves, Black-Litterman, strategic asset allocation.
Lo más reciente
Sandra Isabel Salamanca-Gil, Enrique Montes-Uribe, Juan Sebastián Silva-Rodríguez
Jhorland Ayala-García, Yesica Tatiana Lara-Silva, Alejandro Alberto Vargas-Villamil, Lina Romero-Chaparro
Despite foreign reserves' strategic asset allocation relies mainly on Modern Portfolio Theory (MPT), the unique characteristics of central banks obliges them to articulate and reconcile typical optimization procedures with reserves' management objectives