Borradores de Economia
Número:
645
Publicado:
Clasificación JEL:
G11, E58, C11, C61
Palabras clave:
Foreign reserves, Black-Litterman, strategic asset allocation.
Lo más reciente
Zhibiao Zhao, Manuel Darío Hernández-Bejarano
Daniel Herrera-Araujo, Jorge Florez-Acosta
Luis Armando Galvis-Aponte, Adriana Marcela Rivera-Zárate
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