TY - JOUR
T1 - A multiple-goal investment strategy for Sovereign wealth funds
T2 - An application to China
AU - Xie, Li
AU - Woo, Wing Thye
AU - Zhang, Zhichao
AU - Zhang, Zhuang
N1 - Publisher Copyright:
© 2015 by the Earth Institute at Columbia University and the Massachusetts Institute of Technology.
PY - 2015/1/16
Y1 - 2015/1/16
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84924806474&partnerID=8YFLogxK
U2 - 10.1162/ASEP_a_00319
DO - 10.1162/ASEP_a_00319
M3 - Article
AN - SCOPUS:84924806474
SN - 1535-3516
VL - 14
SP - 78
EP - 97
JO - Asian Economic Papers
JF - Asian Economic Papers
IS - 1
ER -