Borradores de Economia
Número:
645
Publicado:
Clasificación JEL:
G11, E58, C11, C61
Palabras clave:
Foreign reserves, Black-Litterman, strategic asset allocation.
Lo más reciente
Luis Armando Galvis-Aponte, Adriana Isabel Ortega-Arrieta, Adriana Marcela Rivera-Zárate
Carola Müller, Matias Ossandon Busch, Miguel Sarmiento, Freddy A. Pinzón-Puerto
Francisco Javier Lasso-Valderrama, Mario Andrés Ramos-Veloza
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