The risk-return profile of Lithuanian private pension funds

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

The risk-return profile of Lithuanian private pension funds

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

The risk-return profile of Lithuanian private pension funds

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA13-25911S" target="_blank" >GA13-25911S: Bezarbitrážní modelování implikované volatility.</a><br>

Návaznosti

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

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název periodika

Ekonomska Istrazivanja

ISSN

1331-677X

e-ISSN

—

Svazek periodika

30

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

LT - Litevská republika

Počet stran výsledku

20

Strana od-do

1611-1630

Kód UT WoS článku

000414182000001

EID výsledku v databázi Scopus

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