Importance Having the Reserve Fund and the National Wealth Fund, Russia has an important advantage. Russia will further overcome consequences of the global financial and economic crisis and successfully evolve if the Russian wealth funds are effectively and reasonably invested within the nearest years. It is critical to study the advanced practices of global sovereign wealth funds. Objectives Illustrating Norway's Governmental Pension Fund Global, the research evaluates the strategy for managing the investment portfolio of the sovereign wealth fund so to use it in the Russian current environment. Methods We examined the advanced practices of foreign sovereign wealth funds, and we present a modified version of the Markowitz model, which describes how the optimized investment portfolio of Norway's Governmental Pension Fund Global can be formed in line with the specifics of the sovereign wealth fund and restrictions imposed by the Norwegian government. We also built a linear programming model. Results The Markowitz model and the linear programming model will allow evaluating the efficiency and appropriateness of contributions to the investment portfolio of Norway's Governmental Pension Fund Global. Conclusions and Relevance The above models can be used to perform a basic evaluation of investment portfolios of sovereign wealth funds and to develop ad hoc methods, considering specifics of any sovereign wealth fund.
Keywords: sovereign wealth fund, Norway's Governmental Pension Fund Global, investment portfolio, Markowitz model, optimization model
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