Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves

  • Yuliya Romanyuk, Yulia Romaniuk, +6 authors Zahir Antia
  • Published 2010

Abstract

An objective function is a key component of a strategic portfolio management model used to determine optimal allocations of assets and possibly their associated liabilities over some investment horizon. This paper discusses perspectives and investment philosophies for the management of foreign reserves, and investigates how to translate the three common… (More)

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Cite this paper

@inproceedings{Romanyuk2010LiquidityRA, title={Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves}, author={Yuliya Romanyuk and Yulia Romaniuk and Oumar Dissou and Jes{\'u}s Jim{\'e}nez and Philippe Muller and Miguel Molico and Greg Bauer and Francisco Rivadeneyra and Zahir Antia}, year={2010} }