Foreign reserves' strategic asset allocation

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Borradores de Economía; No. 645

Date published

2011-03-15

Date

2011-03-15

Authors

León-Rincón, Carlos Eduardo
Vela, Daniel

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ISSN

ISBN

Document language

spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

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

Description

JEL Codes

E58 - Central Banks and Their Policies

Temática

Keywords

Keywords

Foreign reserves , Black-litterman , Strategic asset allocation

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5662
 https://hdl.handle.net/20.500.12134/5662
 https://ideas.repec.org/p/bdr/borrec/645.html
 https://doi.org/10.32468/be.645

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Borradores de Economía

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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.

Este documento ha sido depositado por parte de el(los) autor(es) bajo la siguiente constancia de depósito