An asset allocation framework with tranches for foreign reserves

Citation data:

Borradores de Economía; No. 899

Publication Year:
2015
Repository URL:
http://repositorio.banrep.gov.co/handle/20.500.12134/6188
RePec URLs:
https://ideas.repec.org/p/bdr/borrec/899.html; https://ideas.repec.org/p/col/000094/013440.html
Author(s):
Julián David García-Pulgarín; Javier Gómez-Restrepo; Daniel Vela-Barón
Publisher(s):
Banco de la República
Tags:
C61 - Optimization Techniques; Programming Models; Dynamic Analysis; E58 - Central Banks and Their Policies; G11 - Portfolio Choice; Investment Decisions; F30 - International Finance: General; Foreign exchange reserves; Reserves adequacy; Strategic asset allocation; Investment horizon; Mental accounting; Reservas internacionales; Activos financieros; Fondos de mercado monetario; Inversiones; E58 - Bancos centrales y sus políticas; F30 - Finanzas internacionales: Generalidades; G11 - Selección de cartera; Decisiones de inversión; C61 - Técnicas de optimización; Modelos de programación; Análisis dinámico; Foreign Exchange Reserves, Reserves Adequacy, Strategic Asset Allocation, Investment Horizon, Mental Accounting
paper description
This document explores an alternative strategic asset allocation framework for foreign exchange reserves, whose main purpose is to maximize the risk-adjusted returns maintaining the objectives of liquidity and safety of a foreign reserves' portfolio. The