Conceptual model for managing the portfolio of Saudi Arabia's reserve funds

Thesis/Dissertation · Sun Jan 01 04:00:00 EST 1984

OSTI ID:5629968

Soufi, A A

The purpose of this study was to develop a model for managing the foreign exchange reserve portfolio of low absorbing, oil exporting countries, such as Saudi Arabia, through the use of portfolio theory. The nature of these countries relative to high-absorbing countries and the role of reserve funds in their economies are examined. The rationale for these countries to hold a greater portion of excess reserves than is considered normal for other countries is assessed. The interaction of the political, economic, development planning, and oil policy issues as they affect reserve management in capital surplus countries is clarified. The model provides guidelines for the multiple objective management of reserve portfolios. Application of the model has been demonstrated by computing ex post optimal portfolios for Saudi Arabia during the period 1974-1982 as well as during various subperiods and by comparing the results with a proxy of the actual composition of Saudi Arabia's reserves.

• OSTI ID: 5629968
• Country of Publication: United States
• Language: English

Related Subjects

29 ENERGY PLANNING, POLICY, AND ECONOMY
290200 -- Energy Planning & Policy-- Economics & Sociology
294002* -- Energy Planning & Policy-- Petroleum
ASIA
CAPITAL
ECONOMIC POLICY
FOREIGN EXCHANGE RATE
GOVERNMENT POLICIES
MANAGEMENT
MATHEMATICAL MODELS
OIL-EXPORTING COUNTRIES
SAUDI ARABIA