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The Financial Value Added from Petroleum-Fund Mechanism

Dahle, Heidi; Granheim, Gine Andrea
Master thesis
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GRA19502 Preliminary.pdf (1.241Mb)
URI
http://hdl.handle.net/11250/2578601
Date
2018
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  • Master of Science [1550]
Abstract
In this thesis, we quantify the financial value added by reallocating petroleum

revenues from oil reserves to the Government Pension Fund Global. By

making a comparable scenario of a hypothetical oil reserve with lower

extraction rate and no fund, we identified a value created from the risk

reduction of investment diversification. The estimation of value added is

sensitive to oil price volatility and investors’ level of risk aversion. In addition,

we perform a portfolio optimization between the combination of investing in a

fund and storing below ground. We find evidence of improvements in mean

return, standard deviation and Sharpe ratio, compared to the current strategy of

high extraction rate and investing all petroleum revenues in the Government

Pension Fund Global.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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