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1

PORTFOLIO INSURANCE STRATEGIES AND THEIR APPLICATIONS

100%
Mlynarovič V.
Ekonomický časopis (Journal of Economics)
|
2011
|
vol. 59
|
issue 4
355 – 367
EN
At first the paper shortly characterizes basic classes of portfolio insurance strategies that provide the investor an ability to limit downside risk while allowing some participation in upside markets. Then some extensions of discrete Constant Part Portfolio Insurance (CPPI) methods that introduce risk budget, a stop loss rule, locking of the guaranteed value, the asset management fee and risk measures in the multiplier are presented and illustrated. Finally the paper presents a modification of CPPI method for pension funds with moving investment horizons. As the result user procedures in Excel environment that automatize the process of guaranteed strategies construction were developed.
2

INVESTMENT OPPRTUNITIES EFFICIENT FRONTIERS MODELLING

100%
Mlynarovič V.
Ekonomický časopis (Journal of Economics)
|
2006
|
vol. 54
|
issue 1
80-97
EN
Paper presents some techniques for portfolios efficient set modelling in Excel. From the technical point of view one needs to solve a series of quadratic programming problems that are known as Markowitz portfolio selection problems. For an effective realisation of the process solving, the Excel solver specially created VBA procedures were used. The first part of the paper illustrates an application of the procedures for modelling efficient portfolio sets of the selected countries on the base of one year performances of their markets in period from 1900 to 2000. In the second part the methodology of efficient frontier modelling in Excel environment is presented together with its illustration for modelling of efficient portfolios sets of selected capital market segments.
3

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

63%
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.
4

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

63%
Miťková V., Mlynarovič V.
Ekonomický časopis (Journal of Economics)
|
2007
|
vol. 55
|
issue 3
232-249
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.
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