A performance and risk analysis on the Slovak private pension funds market

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.