Cristin-resultat-ID: 1887069
Sist endret: 20. september 2021, 11:04
Resultat
Rapport
2021

The optimal spending rate versus the expected real return of a sovereign wealth fund

Bidragsytere:
  • Knut Kristian Aase og
  • Petter Bjerksund

Utgiver/serie

Utgiver

Norges Handelshøyskole. Institutt for foretaksøkonomi

Serie

Norges Handelshoeyskole. Institutt for Foretaksoekonomi. Discussion Paper
ISSN 1500-4066
e-ISSN 2387-3000

Om resultatet

Rapport
Publiseringsår: 2021
Hefte: 1
Antall sider: 51

Beskrivelse Beskrivelse

Tittel

The optimal spending rate versus the expected real return of a sovereign wealth fund

Sammendrag

We consider a sovereign wealth fund that invests broadly in the international financial markets. The influx to the fund has stopped. We adopt the life cycle model and demonstrate that the optimal spending rate from the fund is significantly less than the fund’s expected real rate of return. The optimal spending rate secures that the fund will last ”forever”. Spending the expected return will deplete the fund with probability one. Moreover, this strategy is inconsistent with optimal portfolio choice. Our results are contrary to the idea that it is sustainable to spend the expected return of a sovereign wealth fund.

Bidragsytere

Knut Kristian Aase

  • Tilknyttet:
    Forfatter
    ved Institutt for foretaksøkonomi ved Norges Handelshøyskole

Petter Bjerksund

  • Tilknyttet:
    Forfatter
    ved Institutt for foretaksøkonomi ved Norges Handelshøyskole
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