A multiple-goal investment strategy for Sovereign wealth funds:

منو

" A multiple-goal investment strategy for Sovereign wealth funds: "
Xie, L; Woo, WT; Zhang, Z; Zhang, Z

Document Type	:	AL
Record Number	:	910691
Doc. No	:	LA9m38r5b1
Title & Author	:	A multiple-goal investment strategy for Sovereign wealth funds:. An application to China [Article]\ Xie, L; Woo, WT; Zhang, Z; Zhang, Z
Date	:	2015
Title of Periodical	:	UC Davis
Abstract	:	© 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.