Long Term Financial Planning for Sovereign Wealth Funds and Family Offices: A Multistage Stochastic Programming Approach

Abstract

This paper provides a comprehensive overview of sovereign wealth funds and family offices and reviews relevant literature on the subject. We set asset allocation problems for sovereign wealth funds and family offices and examine asset allocation strategies via multistage stochastic programs. We construct several investment policy rules based on the solutions to multistage stochastic programs and analyze their performance via policy simulation approach. We conclude and discuss possible future research areas.