World's elite gathers for Davos 2014

How Norway plans to protect its millionaires

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Norway's Prime Minister has expressed concerns about the size of the country's sovereign wealth fund, which earlier this year made each of Norway's citizens krone millionaires -- at least in theory.

Speaking at the World Economic Forum in Davos Thursday, Erna Solberg said the fund must be invested to get the best possible returns for future generations.

"It's getting very big so we have to make sure it's diversified," she told CNBC. "This is our pension fund... We need to make sure that it doesn't take more risk than (it needs to); it makes good returns to our pensions in the future."

(Read more: All Norwegians become millionaires as oil fund balloons)

The value of the fund - the largest in the world - hit 5.11 trillion krones ($828.66 billion) on January, 8, thanks to high oil and gas prices. Norway's population is estimated to be 5.09 million.

On Thursday, the value of the fund stood at 5.09 trillion krones, according to a counter on the country's central bank website.

Solberg said she was looking at how the fund could be used to boost different areas of the economy.

(Read More: Norway's richest man gives chunk of fortune to charity)

"We are examining renewables because we want to see if we have bigger investments in renewables," she added. "We have more patience than most investors. We are thinking not just about my children, but my grand- and great-grand childrens' future is supposed to be secured by this money."

Solberg also said that improving the country's competitiveness was a priority, as it moves towards becoming a less oil-driven economy.

"We know that our competitiveness is being smarter – not cheaper – than the rest," she said. "Oil will not last forever, so make sure we are competitive in other industries."

Norway's large exposure to the oil industry leaves it vulnerable to price movements in the oil price. A sustained reduction could hit its growth prospects significantly.

(Read More: Why Norway's shipping industry sees Arctic boom)

Norway's economy grew by 3 percent in 2012, but the International Monetary Fund (IMF) expects gross domestic product (GDP) growth to have slowed to 1.6 percent in 2013, before picking up to clock up 2.3 percent growth in 2014.

By CNBC's Katrina Bishop. Follow her on Twitter @KatrinaBishop and Google