An Elementary Approach to GPIF Investment Allocation Optimization: A Basic Risk-Return Evaluation Perspective

Masatoshi Jinno

MPRA Paper from University Library of Munich, Germany

Abstract: This report examines a portfolio optimization methodology based on the investment allocation approach adopted by the Government Pension Investment Fund (GPIF). Employing quadratic programming, we derive optimal investment allocations for Japan, developed countries (excluding Japan), and emerging markets by incorporating market growth rates and variances. The analysis offers valuable insights into enhancing portfolio performance through a balanced approach to expected returns and risk management.

Keywords: GPIF (Government Pension Investment Fund); Portfolio Optimization; Demographic Aging (search for similar items in EconPapers)
JEL-codes: G11 G23 J14 (search for similar items in EconPapers)
Date: 2025-03-25
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:124093

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