A Performance and Risk Analysis on the Slovak Private Pension Funds Market

In: Ekonomický časopis/Journal of Economics, vol. 55, no. 3

Veronika Miťková

- Vladimír Mlynarovič

Details:

Year, pages: 2007, 232 - 249

Keywords:

Keywords: pension funds, Promethee outranking, efficient frontiers, Black-Litterman portfolio optimization JEL Classification: C61, G11

Article type: Vedecký článok

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About article:

This paper presents the results from two methodological approaches to the analysis of performance and risk of private pension funds in the Slovak Republic. In the first approach, the problem is formulated as a multiple criteria decision model, and Promethee methodology is used for outranking the pension funds. The second approach uses modern portfolio theory to analyze pension funds in a risk-return space, and presents results of the analysis of the efficiency on the private pension funds market in the Slovak Republic. Modern portfolio theory is used to construct efficient frontiers in selected risk-return spaces, using mean-CVaR and mean-standard deviation. The Black-Litterman approach is used to overcome a problem of sensitivity to small changes in inputs in mean-variance portfolio optimization.

How to cite:

ISO 690:

Miťková, V., Mlynarovič, V. 2007. A Performance and Risk Analysis on the Slovak Private Pension Funds Market. In Ekonomický časopis/Journal of Economics, vol. 55, no.3, pp. 232-249. 0013-3035.

APA:

Miťková, V., Mlynarovič, V. (2007). A Performance and Risk Analysis on the Slovak Private Pension Funds Market. Ekonomický časopis/Journal of Economics, 55(3), 232-249. 0013-3035.