The Multi-Objective Alternative Assets Investment Optimization Model on Sovereign Wealth Funds Based on Risk Control

Jing Yu (), Bin Xu () and Yong Shi ()
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Jing Yu: Chinese Academy of Sciences
Bin Xu: Central University of Finance and Economic
Yong Shi: Chinese Academy of Sciences

Chapter Chapter 10 in New State of MCDM in the 21st Century, 2011, pp 115-129 from Springer

Abstract: Abstract This paper presents a new bi-objective stochastic chance-constrained 0-1 integer programming model to reflect the alternative assets allocation of SWFs, which can be modeled as multi-project and multi-item investment combination including profit-pursued objective and risk-avoided objective which can be measured from the perspective of negative entropy and real options or their integration, the constraint condition maps the relationship between demanded cash flow and supported cash flow among the whole process of operating projects. Then the Pareto solution set can be gotten by a modified DE proposed in this paper. In the last, a comparison will show that the performance of DE with random flexing factor has some advantage over that of flexing factor.

Keywords: Alternative assets; Modified DE; Multi-project-multiple-item; Real option; Sovereign Wealth Funds; Stochastic chance-constrained (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-19695-9_10

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DOI: 10.1007/978-3-642-19695-9_10

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