ISSN:
1572-9982
Quelle:
Springer Online Journal Archives 1860-2000
Thema:
Wirtschaftswissenschaften
Notizen:
Summary To gain an empirical impression of the SDR's attractiveness as a reserve asset, an amended mean-variance analysis is applied to official reserves. The main amendments bear upon the choice of the numeraire and the rejection of both the capital market line and the effective yield's positive marginal utility-frequently assumed in empirical analysis. Comparison of the outcome with that recently obtained by Ben-Bassat shows a large sensitivity of optimal portfolio results for slight differences in assumptions. A second, substantial kind of sensitivity of an asset's position in a portfolio appears to ensue from the influence of other competing functions of reserves.
Materialart:
Digitale Medien
URL:
http://dx.doi.org/10.1007/BF01423604
