The accumulation of pension capital in capital funds is the subject of much discussion, especially in terms of their profitability and risk associated with turbulence in financial markets. The article presents the issues of shaping the capital value of the pension by profitability and risk as a measure of investment activities of pension funds and pension capital forecasting and its value at risk (VaR) based on historical data. The article used data relating to profitability and volatility of open-end pension fund units in Poland for the period from 31.12. 2003 to 31.03.2014.
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