The risk-return profile of Lithuanian private pension funds

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00483752" target="_blank" >RIV/67985556:_____/17:00483752 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1080/1331677X.2017.1383169" target="_blank" >http://dx.doi.org/10.1080/1331677X.2017.1383169</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1080/1331677X.2017.1383169" target="_blank" >10.1080/1331677X.2017.1383169</a>

Result language

angličtina

Original language name

The risk-return profile of Lithuanian private pension funds

Original language description

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 specifiednbased 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.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50206 - Finance

Project

<a href="/en/project/GA13-25911S" target="_blank" >GA13-25911S: Arbitrage-free modelling of implied volatility.</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Ekonomska Istrazivanja

ISSN

1331-677X

e-ISSN

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Volume of the periodical

30

Issue of the periodical within the volume

1

Country of publishing house

LT - LITHUANIA

Number of pages

20

Pages from-to

1611-1630

UT code for WoS article

000414182000001

EID of the result in the Scopus database

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