This article draws on stylized facts to build a dynamic portfolio allocation\nmodel of sovereign wealth funds (SWF). We show that a traditional dynamic\nMerton allocation model allows for the stylized evidence that, on the one\nhand, the shares of monetary assets in such funds grow with the risk aversion\nof the state-investor in time, and on the other hand, these funds include the\npresence or absence of hedge funds correlated to the financial situation. One\nweakness of this model is its prediction of a lower risk/riskier asset ratio for\nsovereign stabilization funds and generational savings sovereign funds. This\nresult contradicts the stylized fact of a lower risk/riskier asset ratio in stabilization\nfunds than in generational savings funds. A dynamic model inspired\nby the theoretical framework of Bajeux-Besnainou et al. [1] is compatible\nwith all the stylized facts.
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