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

Autori
Gardijan Kedžo, Margareta ; Škrlec, Ana

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 15th International Symposium on Operational Research SOR'19 in Slovenia, Bled, September 25 - 27, 2019 / Lidija Zadnik Stirn ; Mirjana Kljajić Borštnar ; Janez Žerovnik ; Samo Drobne ; Janez Povh - Ljubljana, 2019, 393-398

ISBN
978-961-6165-55-6

Skup
15th International Symposium on Operations Research in Slovenia (SOR '19)

Mjesto i datum
Bled, Slovenija, 25.09.2019. - 27.09.2019

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
mandatory pension funds ; portfolio optimization ; investment constraints

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA