Abstract
Abstract 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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