A multiple goal investment strategy for sovereign wealth funds : an application to China.

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