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El trimestre económico
On-line version ISSN 2448-718XPrint version ISSN 0041-3011
Abstract
SIERRA-JUAREZ, Guillermo and MENDEZ GARCIA, Daniela. An Optimal Investment Model for Sovereign Wealth Funds: Mexican Oil Fund Case for Stabilization and Development. El trimestre econ [online]. 2017, vol.84, n.335, pp.731-756. ISSN 2448-718X. https://doi.org/10.20430/ete.v84i335.512.
Background:
Research about optimization of resource from oil production is a fundamental topic for Mexico. Federal Mexican government has implemented different kinds of funds for management and hedging of them, the more popular are sovereign fund.
Methods:
The present work proposes a stochastic model (HJB) that maximizes the utility function subject to wealth formed from oil endowment, financial assets, financial options and bonds.
Results:
After implementing the technique, we analyze the change in the weighting of different assets when the parameters are changed.
Conclusions:
The portfolio has hedging properties and the results are consistent with financial intuition and the expected public policy.
Keywords : sovereign funds; oil; portfolio; HJB oil.
