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

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

doi:10.1162/asep_a_00319

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

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

Authors

Li Xie

Wing Thye Woo

Dr Zhichao Zhang zhichao.zhang@durham.ac.uk
Assistant Professor

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