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Financial Analytics: Science and Experience
 

Optimization of pension savings portfolios

Vol. 8, Iss. 10, MARCH 2015

PDF  Article PDF Version

Available online: 12 March 2015

Subject Heading: ASSESSMENT AND APPRAISAL ACTIVITIES

JEL Classification: 

Pages: 2-10

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation
ecolena@mail.ru

Importance The study defines a model that can be used with a particular strategy taking into account the market situation (passive, aggressive and balanced ones).
     Objectives I used the assets that have been authorized by the Russian legislation in respect of pension savings, and also those assets, which are not authorized by the Russian legislation provisions.
     Methods Having built the most popular models and methods of formation of an investment portfolio, I can conclude as follows: the quasi-Sharpe model is more applicable for passive control, which allows to find an effective portfolio with minimum risk and which is best suited to work with in an unstable market, such as the Russian equity market. I assume that Huang and Litzenberger methods are the methods, which enable to find an effective portfolio among many portfolios, which satisfies an investor in terms of rate of returns. In addition, this method has no limits on positions, which permits to open long position (buy) and short position (sell). Portfolio, which was compiled in the research, includes assets, which are not allowed for investment, which showed 10.05% return on assets for 2013 period, which are 3. 67% higher than the portfolio of the largest non-government pension fund of the Russian Federation. The largest share in portfolio, which was formed by the quasi-Sharpe method belong to corporate and municipal bonds.
     Results The paper underlines that 9 % annual yield to match the selected benchmarks underlies the need for an increase of the number of instruments that can be invested in pension savings. Low yield of permitted instruments leads to an increase in the share of more profitable assets in an investment portfolio. Thus, an optimal calculation portfolio weighted second-tier shares amounting to 14.11%. I emphasize that despite the fact that these securities are not allowed for investment to the National Pension Fund (NPF) such practice must be introduced at the legislative level.
     Conclusions and Relevance I consider that this procedure can be performed at the expense of expanding of the list of assets of investable pension savings.

Keywords: non-governmental pension trusts, investment strategy, evaluation, optimality, investment portfolio

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