A PERFORMANCE AND RISK ANALYSIS ON THE SLOVAK PRIVATE PENSION FUNDS MARKET

• Authors: Miťková Veronika , Mlynarovič Vladimír
• Languages of publication: EN

Abstracts

EN

This paper presents the results from two methodological approaches to the analysis of performance and risk of the private pension funds in the Slovak Republic. In the first approach, the problem is formulated as a multiple criteria decision model, and Promethee methodology is used for outranking the pension funds. The second approach uses modern portfolio theory to analyse the pension funds in a risk-return space, and presents the results of the analysis of the efficiency on the private pension funds market in the Slovak Republic. Modern portfolio theory is used to construct the efficient frontiers in the selected risk-return spaces, using mean-CVaR and mean-standard deviation. The Black-Litterman approach is used to overcome a problem of sensitivity to the small changes in inputs in mean-variance portfolio optimisation.

Keywords

EN

BLACK-LITTERMAN PORTFOLIO OPTIMIZATION; PENSION FUNDS; PROMETHEE OUTRANKING

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2007
• Volume: 55
• Issue: 3
• Pages: 232-249
• Document type: ARTICLE

Contributors

author

Miťková Veronika

author

Mlynarovič Vladimír

• Faculty of Social and Economic Sci-ences, Comenius University in Bratislava, Odbojárov 10/A, 820 05 Bratislava 2, Slovak Republic

• Ekonomicky ustav SAV, Sancova 56, 811 05 Bratislava 1, Slovak Republic

• V. MItkova, Ekonomicky ustav SAV, Sancova 56, 811 05 Bratislava 1, Slovak Republic

Identifiers

CEJSH db identifier

07SKAAAA02465125