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.
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Acknowledgements
This work is part of the National Natural Science Foundation of China (Grant No.70840010), which is named as The operating mechanism & impact analyses of Sovereign Wealth Funds, and also supported by the 3rd 211 project of Central University of Finance & Economics and National Natural Science Foundation of China Grant No70621001, No70531040.
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Yu, J., Xu, B., Shi, Y. (2011). The Multi-Objective Alternative Assets Investment Optimization Model on Sovereign Wealth Funds Based on Risk Control. In: Shi, Y., Wang, S., Kou, G., Wallenius, J. (eds) New State of MCDM in the 21st Century. Lecture Notes in Economics and Mathematical Systems, vol 648. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-19695-9_10
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DOI: https://doi.org/10.1007/978-3-642-19695-9_10
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