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dc.contributor.authorAase, Knut K.
dc.contributor.authorBjerksund, Petter
dc.date.accessioned2021-02-05T10:09:33Z
dc.date.available2021-02-05T10:09:33Z
dc.date.issued2021-02-04
dc.identifier.issn1500-4066
dc.identifier.urihttps://hdl.handle.net/11250/2726376
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherFORen_US
dc.relation.ispartofseriesDiscussion paper;1/21
dc.subjectOptimal spending rateen_US
dc.subjectendowment fundsen_US
dc.subjectexpected utilityen_US
dc.subjectrisk aversionen_US
dc.subjectEISen_US
dc.subjectrecursive utilityen_US
dc.titleThe optimal spending rate versus the expected real return of a sovereign wealth funden_US
dc.typeWorking paperen_US
dc.source.pagenumber51en_US


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