Risk analysis of the proxy life-cycle investments in the second pillar pension scheme in Croatia (CROSBI ID 258476)
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Podaci o odgovornosti
Kovačević, Renata ; Latković, Mladen
engleski
Risk analysis of the proxy life-cycle investments in the second pillar pension scheme in Croatia
In this article we analyze the expected risk of pension funds with different risk profiles in the proxy life-cycle model of investments for the 2nd pillar pension scheme in Croatia. The benefits of implementing proxy life-cycle investments, compared to the previous model of mandatory pension funds investments, are clearly visible in the total expected amount of accumulated savings from the risk/ return perspective. However, those benefits are partially diminished by the fact that the expected risk of a pension fund with the lowest risk profile is not substantially different from the expected risk of a pension fund with a medium risk profile, due to the lack of diversification. Additionally, we analyze the robustness of the proxy life-cycle model to a sudden and severe market shock, where we determine the presence of risk for those members who choose to switch to a pension fund with a lower risk profile at an unfavorable moment.
defined contribution system, pension funds, life-cycle investing, portfolio risk
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Podaci o izdanju
39 (1)
2015.
31-55
objavljeno
1846-887X
1845-9757
10.3326/fintp.39.1.2