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

Li Xie (), Wing Thye Woo (), Zhichao Zhang () and Zhuang Zhang ()
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Li Xie: Durham University Business School
Wing Thye Woo: University of California at Davis Department of Economics

Asian Economic Papers, 2015, vol. 14, issue 1, 78-97

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. © 2015 The Earth Institute at Columbia University and the Massachusetts Institute of Technology

Keywords: sovereign wealth funds; Black-Litterman; mean variance mental accounting; MVMA; return expectations; global investment; macroeconomic (search for similar items in EconPapers)
JEL-codes: E00 E03 E37 (search for similar items in EconPapers)
Date: 2015
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