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Open Access Publications from the University of California

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

  • Author(s): Xie, L
  • Woo, WT
  • Zhang, Z
  • Zhang, Z
  • et al.

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