Performance Evaluation of Lithuanian II Pillar Pension Funds Using Rolling Window Technique

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F22%3A10472042" target="_blank" >RIV/00216208:11320/22:10472042 - isvavai.cz</a>
Result on the web
<a href="https://mme2022.vspj.cz/download/proceedings-4.pdf" target="_blank" >https://mme2022.vspj.cz/download/proceedings-4.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Performance Evaluation of Lithuanian II Pillar Pension Funds Using Rolling Window Technique
Original language description
This paper presents results of performance evaluation of Lithuanian II pillar pension funds using rolling window technique. The Lithuanian pension system has three pillars: mandatory (Ist, social insurance system), quasi-optional (IInd, life-cycle pension funds) and optional (IIIrd, any kind of pension funds or insurance). Investments in II pillar from standard funds were changed to life-cycle funds in 2019. To reveal different behavior of market risk and performance of funds, we used 120 days windows (rolled by 1 day). Risk-adjusted performance of funds was measured by employing mean return, average recovery and Sharpe-based ratios such Calmar ratio, Sortino ratio, adjusted Sharpe ratio, VaR Sharpe ratio. However, to describe market risk we only focused on 5 special time windows related to COVID-19.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
40TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS 2022
ISBN
978-80-88064-62-6
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
154-160
Publisher name
COLL POLYTECHNICS JIHLAVA
Place of publication
JIHLAVA
Event location
Jihlava
Event date
Sep 7, 2022
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000936355000025

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