The risk–return profile of Lithuanian private pension funds
Bibliographic Data
| ID | 15066871 |
|---|---|
| Authors | Audrius Kabašinskas (0000-0001-6863-5895, Kaunas University of Technology, corresponding author), Kristina Šutienė (0000-0001-5412-3194, Kaunas University of Technology), Miloš Kopa (0000-0002-9438-4484, Department of Econometrics, Institute of Information Theory and Automation AS CR, Prague, Czech Republic), Eimutis Valakevičius (0000-0003-1928-0631, Kaunas University of Technology) |
| Year | 2017 |
| Volume | 30 |
| Issue | 1 |
| Pages | 1611-1630 |
| Publication date | 2017-01-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2017.1383169 |
| OpenAlex | W2764090420 |
| Language | EN |
| Citations received | 1 |
| References cited | 29 |
The introduction of a private pension funds in conjunction with the public social security system is the essence of pension system reform that was implemented in Lithuania. The performance of private funds is mainly presented by fund’s net asset value and few classical risk estimates. Such evaluation shows the management company’s ability to profitably invest funds, but does not give the evidential risk-return evaluation. This paper refers to the overall statistical analysis of 26 private pension funds over a certain time period. The objective of the research is to determine the risk-return profile of pension funds and to answer the question whether the categories specified\nbased on investment strategy in equities reflect fund’s empirical behaviour. Research methodology includes the statistical analysis, risk measuring, performance ratio estimation, and K-means clustering. The conclusions obtained by the research allow determining whether the distinct pension funds have beaten a low risk reference and are adequately assigned to a certain risk category
Actuarial science · Business · Corporate governance · Fund of funds · Global assets under management · Institutional investor · Lithuanian · Market liquidity · Passive management · Pension · Pension Fund · Private pension · Insurance and Financial Risk Management · Insurance, Mortality, Demography, Risk Management · Risk and Portfolio Optimization · Finance
| Citations per year | 0.14 |
|---|---|
| Citation span | 2019 - 2019 (1) |
| Highly cited | No |