LEGISLATIVE CHANGES EFFECTS ON SLOVAK PENSION FUNDS EFFICIENCY

被引：0
|
作者：
Mlynarovic, Vladimir [1 ]
机构：
[1] Comenius Univ, Fac Social & Econ Sci, Inst Econ, Mlynske Luhy 4 1-B, Bratislava 85235, Slovakia
来源：
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE: QUANTITATIVE METHODS IN ECONOMICS: MULTIPLE CRITERIA DECISION MAKING XVIII | 2016年
关键词：
pension funds; efficient frontiers; Black - Litterman model;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The paper compares historical returns of selected Slovak pension funds in the three periods specified according to significant legislative changes in pension system. The methodology of Black - Litterman optimization is used to construct historical efficient frontiers for conservative and growth pension funds. As results the paper shows significant shifts of efficient frontiers for both types of funds as a reaction of investment companies on legislative changes.
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页码：253 / 257
页数：5
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