A Multiple Goal Investment Strategy for Sovereign Wealth Funds: An Application to China

Xie, Li; Woo, Wing Thye; Zhang, Zhichao; Zhang, Zhuang

Abstract

This paper develops a multiple-goal investment strategy for sovereign wealth funds. In our investment strategy, we embed the Black-Litterman (B-L) model into the mean variance mental accounting (MVMA) approach. The B-L method provides a means of modeling return expectations, and the MVMA framework allows the derivation of the optimal asset allocation from a global investment perspective, in a response to a specific macroeconomic environment.

Citation

Xie, L., Woo, W. T., Zhang, Z., & Zhang, Z. (2015). A Multiple Goal Investment Strategy for Sovereign Wealth Funds: An Application to China. Asian Economic Papers, 14(1), 78-97. https://doi.org/10.1162/asep_a_00319

• Journal Article Type: Article
• Publication Date: Mar 13, 2015
• Deposit Date: May 21, 2015
• Publicly Available Date: Mar 13, 2016
• Journal: Asian Economic Papers
• Print ISSN: 1535-3516
• Electronic ISSN: 1536-0083
• Publisher: Massachusetts Institute of Technology Press
• Peer Reviewed: Peer Reviewed
• Volume: 14
• Issue: 1
• Pages: 78-97
• DOI: https://doi.org/10.1162/asep_a_00319
• Public URL: https://durham-repository.worktribe.com/output/1437644