engleski

Are investment constraints of mandatory pension funds restricting their performance: Case of Croatia

The pension system and the performance of mandatory pension funds are in the public interest due to their social and economic function. Therefore, their investments are under tight restrictions defined by legal acts. Some of the restriction imposed by law are sometimes questioned since they might limit the funds’ ability to improve their performance. In this paper, we investigate the asset allocation of mandatory pension funds in the Republic of Croatia and simulate their portfolios using the current investment constraints. We introduce possible changes of these constraints and analyse their effect on portfolios’performance. The empirical analysis focuses on the period of 2015-2017. The results suggest that better performance of our portfolios could be achieved within the regulatory investment constraints, but a further lessening of some constraints could improve their performance in terms of risk and the return.

mandatory pension funds ; portfolio optimization ; investment constraints

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