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Sovereign Assets, Optimal Growth and Volatility Pumping

Sovereign Assets, Optimal Growth and Volatility Pumping
Sovereign Assets, Optimal Growth and Volatility Pumping
Headshot of Jamil Baz
Headshot of Josh Davis
Headshot of Erol Hakanoglu
 | {read_time} min read

Executive Summary

  • In this paper, we review the idea of volatility pumping and discuss how it helps boost assets of sovereign wealth funds.
  • Asset diversification leads to lower portfolio volatility which, in turn, increases expected growth of sovereign portfolios.
  • The benefits of volatility pumping increase with the original portfolio volatility.

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