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  • 1
    Electronic Resource
    Electronic Resource
    The perspective of the SDR's position in monetary reserves on the robustness of optimal portfolio results (1986)
    Springer
    De economist 134 (1986), S. 417-437 
    Details
    ISSN: 1572-9982
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01423604
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