Mathematical model to examine government investment strategies in financial and commodity assets

Oil is the main source of energy and one of the important factors in promoting economic activities. The unconventional fluctuations in the price of this product and the uncertainty resulting from it have increased the prices of other goods and services produced. Hence, the purpose of this study is to optimize the portfolio of government’s assets and define the best investment strategy to adjust these fluctuations. In this regard, a portfolio with three assets of oil, capital market and gold market is defined for the state, and then its utility function is introduced. The optimal weights of each of the above calculated assets are evaluated by implementing the first condition of optimizations. After that, information about the oil price, value of capital market and the price of gold between 2012- 2016 was received, and according to the average, the current weight of assets in the government’s portfolio is estimated and compared with the current weight of government’s assets.