Alfonso Irarrazabal

Parra-Alvarez, Juan Carlos; Ma, Lin & Irarrazabal Flores, Alfonso (2023)

Optimal asset allocation for commodity sovereign wealth funds

Quantitative finance (Print), 23(3), s. 471- 495. Doi: 10.1080/14697688.2022.2158918

Irarrazabal Flores, Alfonso; Ma, Lin & Parra-Alvarez, Juan Carlos (2023)

Optimal asset allocation for commodity sovereign wealth funds

Quantitative finance (Print), 23(3), s. 471- 495. Doi: 10.1080/14697688.2022.2158918

This paper studies the dynamic asset allocation problem faced by an infinitively lived commodity-based sovereign wealth fund under incomplete markets. Assuming that the fund receives a non-tradable stream of commodity revenues until a predetermined date, the optimal consumption and investment strategies are state and time-dependent. Using data from the Norwegian Petroleum Fund, we find that the optimal demand for equity should decrease gradually from 60% to 40% over the next 60 years. However, the solution is particularly sensitive to the correlation between oil and stock price changes. We also estimate wealth-equivalent welfare losses, relative to the optimal rule, when following alternative suboptimal investment rules.

Golombek, Rolf; Irarrazabal Flores, Alfonso & Ma, Lin (2018)

OPECs Market Power: An Empirical Dominant Firm Model for the Oil Market

Energy Economics, 70, s. 98- 115. Doi: 10.1016/j.eneco.2017.11.009 - Full text in research archive

Chen, Kaiji & Irarrazabal Flores, Alfonso (2015)

The role of allocative efficiency in a decade of recovery

Review of economic dynamics, 18(3), s. 523- 550. Doi: 10.1016/j.red.2014.09.008

Irarrazabal Flores, Alfonso; Moxnes, Andreas & Opromolla, Luca David (2015)

The Tip of the Iceberg: A Quantitative Framework for Estimating Trade Costs

Review of Economics and Statistics, 97(4), s. 777- 792. Doi: 10.1162/REST_a_00517

Golombek, Rolf; Ma, Lin & Irarrazabal, Alfonso (2014)

OPEC's Market Power: An Empirical Dominant Firm Model for the Oil Market

[Academic lecture]. 2014 International Conference on Commodity Markets.

Ulltveit-Moe, Karen Helene; Moxnes, Andreas & Irarrazabal, Alfonso (2010)

Heterogeneous firms or heterogeneous workers? Implication for Exporter premia and the gains from trade

[Academic lecture]. London School of Economics, staff seminar.

Ulltveit-Moe, Karen Helene; Irarrazabal, Alfonso & Moxnes, Andreas (2010)

Heterogeneous firms or heterogeneuos workers? Implications for Exporter premia and the gains from trade.Politics, Economics and Global Governance: The European Dimensions, Research Workshop on International Trade, Villars (Switzerland), March 2010 (organised by HEI, Geneva); 2010-03-18 - 2010-03-19

[Academic lecture]. Politics, Economics and Global Governance: The European Dimensions.