A multiple-goal investment strategy for Sovereign wealth funds: An application to China

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

doi:10.1162/ASEP_a_00319

A multiple-goal investment strategy for Sovereign wealth funds: An application to China

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

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

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.

Original language	English
Pages (from-to)	78-97
Number of pages	20
Journal	Asian Economic Papers
Volume	14
Issue number	1
DOIs	https://doi.org/10.1162/ASEP_a_00319
Publication status	Published - 16 Jan 2015
Externally published	Yes

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title = "A multiple-goal investment strategy for Sovereign wealth funds: An application to China",

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.",

author = "Li Xie and Woo, \{Wing Thye\} and Zhichao Zhang and Zhuang Zhang",

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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.

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A multiple-goal investment strategy for Sovereign wealth funds: An application to China

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