Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Results found: 1

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  BLACK-LITTERMAN APPROACH
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1

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

100%
Mitkova V., Mlynarovič V.
Ekonomický časopis (Journal of Economics)
|
2021
|
vol. 69
|
issue 6
604 – 626
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.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.