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An Elementary Approach to GPIF Investment Allocation Optimization: A Basic Risk-Return Evaluation Perspective

Author

Listed:
  • Jinno, Masatoshi

Abstract

This report examines a portfolio optimization methodology based on the investment allocation approach adopted by the Government Pension Investment Fund (GPIF). Employing quadratic programming, we derive optimal investment allocations for Japan, developed countries (excluding Japan), and emerging markets by incorporating market growth rates and variances. The analysis offers valuable insights into enhancing portfolio performance through a balanced approach to expected returns and risk management.

Suggested Citation

  • Jinno, Masatoshi, 2025. "An Elementary Approach to GPIF Investment Allocation Optimization: A Basic Risk-Return Evaluation Perspective," MPRA Paper 124093, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:124093
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    File URL: https://mpra.ub.uni-muenchen.de/124093/1/MPRA_paper_124093.pdf
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    More about this item

    Keywords

    GPIF (Government Pension Investment Fund); Portfolio Optimization; Demographic Aging;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • J14 - Labor and Demographic Economics - - Demographic Economics - - - Economics of the Elderly; Economics of the Handicapped; Non-Labor Market Discrimination

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