Di Paolo, Florin (A.A. 2024/2025) Optimal asset allocation for sovereign wealth funds: empirical evidence from Norway’s GPFG. Tesi di Laurea in Equity markets and alternative investments, Luiss Guido Carli, relatore Paolo Vitale, pp. 53. [Master's Degree Thesis]

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Abstract/Index

SovereignWealth funds. definition of SovereignWealth funds. History of SovereignWealth funds. The Norwegian SovereignWealth fund. Methodology. Model conceptual setup. Optimization problem. Data and estimation. Data sources, investable universe, and return construction. Diagnostics and stability tests. Fixing the nominal expected return μ∗. Estimating the oil-to-total–wealth share τO. Empirical results. Model inputs and cross-sectional diagnostics. Oil beta estimation and stability. Efficient frontiers: local vs global. Certainty–equivalent gain from hedging. Implementability under no-short-sale. Implementability with diversification caps. Comparison with GPFG through sharpe ratio.

References

Bibliografia: p. 52.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair:	Equity markets and alternative investments
Thesis Supervisor:	Vitale, Paolo
Thesis Co-Supervisor:	Borri, Nicola
Academic Year:	2024/2025
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	03 Mar 2026 14:26
Last Modified:	03 Mar 2026 14:26
URI:	https://tesi.luiss.it/id/eprint/45065

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