Work in Progress

"A transaction data study of the Forward Premium" (with D. Rime and P. Vitale) Norges Bank WP

"Asset Liability Management for Resource-based Sovereign Wealth Funds" (with R. Kosowski)
This paper extends the work we undertook for the Norwegian Petroleum fund (now the GPF-Global) placing asset allocation for a resource-based Sovereign Wealth Fund into an asset-liability management framework. We show that the proposed allocation has superior risk and return to the GPF-Global's current allocation. An overview of this project will also be available in the Handbook of Quantitative Asset Management (OUP)