An Elementary Approach to GPIF Investment Allocation Optimization: A Basic Risk-Return Evaluation Perspective

Jinno, Masatoshi (2025): An Elementary Approach to GPIF Investment Allocation Optimization: A Basic Risk-Return Evaluation Perspective.

Abstract

This report examines a portfolio optimization methodology based on the investment allocation approach adopted by the Government Pension Investment Fund (GPIF). Employing quadratic programming, we derive optimal investment allocations for Japan, developed countries (excluding Japan), and emerging markets by incorporating market growth rates and variances. The analysis offers valuable insights into enhancing portfolio performance through a balanced approach to expected returns and risk management.

• Item Type: MPRA Paper
• Language: English
• Keywords: GPIF (Government Pension Investment Fund), Portfolio Optimization, Demographic Aging
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors; J - Labor and Demographic Economics > J1 - Demographic Economics > J14 - Economics of the Elderly ; Economics of the Handicapped ; Non-Labor Market Discrimination

References

Government Pension Investment Fund. 2024. Annual Report – Fiscal Year 2023. Tokyo: Government Pension Investment Fund.

Markowitz, H. (1952), Portfolio Selection, The Journal of Finance, Vol. 7, No. 1, pp. 77-91.