Comments by Deborah Swenson, on A Multiple-Goal Investment Strategy for Sovereign Wealth Funds: An Application to China

Abstract

The primary question in this paper is how should SWF managers allocate their assets, when their SWF is tasked with investing on behalf of multiple objectives? To answer this question the authors develop a new technical approach to provide guidelines that could be used by SWF managers. Then, to illustrate how their approach affects asset allocation decisions, the authors apply their model to the case of China. They also explore how their asset allocation recommendations are affected by the timeframe for the SWF goal structure (short-, medium-, and long-run) and how their asset allocation recommendations depend on the degree of risk aversion. I appreciate the clarity of the question, and the directness of the answer. Because the application of the problem is clean and the model and application matches the authors’ intended goals, the paper cannot be criticized for lacking internal consistency, or for failing to match the question and its analysis.