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Research

Sovereign Assets, Optimal Growth and Volatility Pumping

Sovereign Assets, Optimal Growth and Volatility Pumping
  • 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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