EFFICIENCY ON THE SLOVAK PRIVATE PENSION FUNDS MARKETS AND LEGISLATIVE CHANGES EFFECTS ANALYSIS

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

Abstracts

EN

The paper presents applications of portfolio techniques including proposed modification of the Black-Litterman approach for pension funds’ performance evaluation on the Slovak private pension funds markets and deals with: how effective are the investment strategies of companies on the market of specific pension funds; if the investment strategies outcomes match the companies' officially declared fund strategy type in a risk-return space; and if the legislative changes on the pension market segment impact those funds strategies. Relative positions of single funds are identified by constructing efficient frontiers in various spaces. As a result, the investment strategies create clusters for conservative, balanced, and index funds, while the growth funds have higher strategies variance. It is shown that the legislative changes concerning mainly more risky funds have an important influence on the second pillar growth funds investment strategies. The results show high interactions between legislative changes and investment decisions.

Keywords

EN

BLACK-LITTERMAN APPROACH; PRIVATE PENSION FUNDS; INVESTMENT STRATEGIES; SLOVAKIA

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2021
• Volume: 69
• Issue: 6
• Pages: 604 – 626

Contributors

author

Mitkova Veronika

• Comenius University in Bratislava, Faculty of Social and Economic Sciences, Mlynské luhy 4, 821 05 Bratislava, Slovak Republic

author

Mlynarovič Vladimír

Identifiers

DOI

https://doi.org/10.31577/ekoncas.2021.06.03