De Economist

, Volume 134, Issue 4, pp 417–437 | Cite as

The perspective of the SDR's position in monetary reserves on the robustness of optimal portfolio results

  • Henk Jager
  • Eelke de Jong
Article
  • 32 Downloads

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.

Keywords

Empirical Analysis International Economic Capital Market Public Finance Optimal Portfolio 
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Copyright information

© Kluwer Academic Publishers 1986

Authors and Affiliations

  • Henk Jager
  • Eelke de Jong

There are no affiliations available

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