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The Multi-Objective Alternative Assets Investment Optimization Model on Sovereign Wealth Funds Based on Risk Control

In: New State of MCDM in the 21st Century

Author

Listed:
  • Jing Yu

    (Chinese Academy of Sciences
    Nanjing Audit University)

  • Bin Xu

    (Central University of Finance and Economic)

  • Yong Shi

    (Chinese Academy of Sciences
    University of Nebraska at Omaha)

Abstract

This paper presents a new bi-objective stochastic chance-constrained 0-1 integer programming model to reflect the alternative assets allocation of SWFs, which can be modeled as multi-project and multi-item investment combination including profit-pursued objective and risk-avoided objective which can be measured from the perspective of negative entropy and real options or their integration, the constraint condition maps the relationship between demanded cash flow and supported cash flow among the whole process of operating projects. Then the Pareto solution set can be gotten by a modified DE proposed in this paper. In the last, a comparison will show that the performance of DE with random flexing factor has some advantage over that of flexing factor.

Suggested Citation

  • Jing Yu & Bin Xu & Yong Shi, 2011. "The Multi-Objective Alternative Assets Investment Optimization Model on Sovereign Wealth Funds Based on Risk Control," Lecture Notes in Economics and Mathematical Systems, in: Yong Shi & Shouyang Wang & Gang Kou & Jyrki Wallenius (ed.), New State of MCDM in the 21st Century, chapter 0, pages 115-129, Springer.
    • Handle: RePEc:spr:lnechp:978-3-642-19695-9_10
    DOI: 10.1007/978-3-642-19695-9_10
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