Sovereign Wealth Funds Investment Strategy Research Based On Analytical Hierarchy Process

This article focused on country-specific factors when constructingsovereign wealth fund portfolios.Within the scope of the Organization forEconomic Cooperation and Development (OECD) member countries, thisarticle selected aset of alternative countries by applying AHP.And bychoosing financial market indices as a representative object, this articleusedCorner Portfolio method to calculate the optimal allocation portfolio.Firstly, having considered the factors that may affect the sovereignwealth fund asset allocation on a global scale,this article identified aseries of country-specific factors as indicators of evaluation criteria bybuilding the structure of the investment environment evaluation.Secondly,through a questionnaire, this article used AHP to determine theimpactingweights of indicators of asset allocation decisions. Then, byevaluatingthe34OECD countriesand calculating the weighted-sum of thescores, ranking of the34OECD countries was got. Finally, selected the10top-ranking countries as the asset allocation target of SWFs, thisarticleusedthe Corner Portfolio method and Javaiteration algorithm tosolvethe portfolio yield, risk and Sharpe Ratio for each cases, and determined the portfolio with maximum Sharpe Ratio as the optimalallocation portfolio of assets.This study provided for the sovereign wealth funds a workabledecision-making process in determining the strategic asset allocation plan,and also providedfor sovereign wealth funds’investment managersaquantifiable frame of mind when considering the country-specific factors.