The strategic asset allocation optimization model of sovereign wealth funds based on maximum CRRA utility & minimum VAR | Zendy

Jing Yu | Zendy; Bin Xu | Zendy; Haizhen Yang | Zendy; Yong Shi | Zendy

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The strategic asset allocation optimization model of sovereign wealth funds based on maximum CRRA utility & minimum VAR

Author(s) -

Jing Yu,

Bin Xu,

Haizhen Yang,

Yong Shi

Publication year - 2010

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2010.04.274

Subject(s) - computer science , asset allocation , asset (computer security) , sovereign wealth fund , pareto optimal , multi objective optimization , value at risk , mathematical optimization , finance , economics , microeconomics , risk management , mathematics , portfolio , computer security , machine learning , incentive

This paper presents a new optimum model to reflect the strategic assets allocation of SWFs. According to the risk value of assets of SWFs, it can be classified into four kinds of assets listed as high risk asset, middle risk asset, low risk asset and risk free asset. Thus the optimization model will be developed to decide the corresponding weight number of above four classified assets including maximum CRRA utility and minimum VAR objectives subject to some subjective and objective conditions. In the last, a numerical simulation will be drawn to achieve the Pareto solutions to illustrate the application of developed model by using NSGA-II

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