Arbeitspapier
Liquidity, risk, and return: Specifying an objective function for the management of foreign reserves
An objective function is a key component of a strategic portfolio management model used to determine the optimal allocations of assets and, possibly, their associated liabilities over some investment horizon. The author discusses investment philosophies and perspectives for the management of foreign reserves, and investigates how to translate the three common policy objectives for reserves (liquidity, safety, and return) into objective functions for strategic reserves management. Stochastic programming is identified as an advantageous modelling framework to capture the objectives of foreign reserves management, and a strategic reserves management model is illustrated that trades off expected net returns with costs and liquidity issues related to a potential liquidation of a portion of the portfolio.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Discussion Paper ; No. 2010-13
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
- Thema
-
Foreign reserves management
Portfolio-Management
Währungsreserven
Währungsmanagement
Rentabilität
Risikopräferenz
Betriebliche Liquidität
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Romanyuk, Yuliya
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2010
- DOI
-
doi:10.34989/sdp-2010-13
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Romanyuk, Yuliya
- Bank of Canada
Entstanden
- 2010
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