Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2017.1383169
The risk–return profile of Lithuanian private pension funds
Audrius Kabašinskas
; Department of Mathematical Modelling, Faculty of Mathematics and Natural Sciences, Kaunas University of Technology, Kaunas, Lithuania
Kristina Šutienė
; Department of Econometrics, Institute of Information Theory and Automation AS CR, Prague, Czech Republic
Eimutis Valakevičius
; Department of Mathematical Modelling, Faculty of Mathematics and Natural Sciences, Kaunas University of Technology, Kaunas, Lithuania
Sažetak
The introduction of a private pension funds in conjunction with
the public social security system is the essence of pension system
reform that was implemented in Lithuania. The performance of private
funds is mainly presented by fund’s net asset value and few classical
risk estimates. Such evaluation shows the management company’s
ability to profitably invest funds, but does not give the evidential risk–
return evaluation. This paper refers to the overall statistical analysis
of 26 private pension funds over a certain time period. The objective
of the research is to determine the risk–return profile of pension
funds and to answer the question whether the categories specified
based on investment strategy in equities reflect fund’s empirical
behaviour. Research methodology includes the statistical analysis, risk
measuring, performance ratio estimation, and K-means clustering.
The conclusions obtained by the research allow determining whether
the distinct pension funds have beaten a low risk reference and are
adequately assigned to a certain risk category
Ključne riječi
Pension system reform; private pension funds; performance ratios; risk– return measuring; clustering
Hrčak ID:
193202
URI
Datum izdavanja:
1.12.2017.
Posjeta: 929 *