Optimization of the investment portfolio structure of private pension funds in crisis
DOI:
https://doi.org/10.15587/2312-8372.2015.41749Keywords:
private pension fund, investment portfolio, investment, model, risk, profitability, investment restrictionsAbstract
Investing pension assets is one of the most important activities of private pension funds. The amount of funds to individual account of future retiree and pension that he will receive in the future are depended from profitability of assets. After analyzing the existing theory of portfolio investment was concluded impossible to use it without adjustments in the practice of investing pension funds. Thus, there is a need to find approaches to optimize the structure of the investment portfolio of private pension funds, which not only take into account all legislative restrictions on areas for investment and diversification, but also will ensure profitability at an acceptable level.
Allowed areas of investing pension funds were investigated in the article and made their retrospective analysis. Using linear programming optimization model that allowed to take into account all the constraints and characteristics of investment assets, it is improved the structure of the investment portfolio of private pension funds. Transferring the results for 2014, it was shown that the use of this model in the non-state pension funds will increase the return on investment that shows the effectiveness of this model.
References
- Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, Vol. VII, № 1, 77-91.
- Sharpe, W. F. (2007). Investors and Markets: Portfolio Choices, Asset Prices, and Investment Advice. Princeton University Press, 221. doi:10.1515/9781400830183
- Anghelache, G., Armeanu, D. Management of Portfolio Investment Held by Pension Funds. Available: http://store.ectap.ro/articole/330.pdf
- Babirad, M. M. (2009). Osoblyvosti investytsiinoi diialnosti nederzhavnykh pensiinykh fondiv v Ukraini. Naukovyi visnyk LNTU Ukrainy, 19.3, 157-163.
- Kovalva, N. (2005). Rehuliuvannia deklaruvannia investytsiinoi polityky nakopychuvalnykh pensiinykh fondiv: napriamky vdoskonalennia vitchyznianoho dosvidu v svitli mizhnarodnoho dosvidu. Rynok tsinnykh paperiv. Visnyk DKTsPFR, 3, 53-63.
- Postnyy, A. (2014). Foreign experience of non-government pension funds investment policy: lessons for Ukraine. Economist, 8, 36-38. Available: http://ua-ekonomist.com/archive/2014/08/Postnyy.Pdf
- Nebaba, N. O. (2013). Derzhavne rehuliuvannia systemy nederzhavnoho pensiinoho zabezpechennia: suchasnyi stan ta napriamy rozvytku. Problemy i perspektyvy rozvytku bankivskoi systemy Ukrainy, 37, 326-334.
- Nebaba, N. O. (2015). Doslidzhennia napriamkiv investuvannia aktyviv nederzhavnykh pensiinykh fondiv. Ekonomika i finansy, 1. in print
- Indeksy aktsii. Fondova birzha PFTS. Available: http://www.pfts.ua/uk/shares-indexes/?firstDate=01.01.2008%20&lastDate=01.01.2015
- Statistika i dinamika tsen na nedvizhimost'. Portal nedvizhimosti Domik.ua. Available: http://domik.ua/nedvizhimost/dinamika-cen.html
- Statystychnyi biuleten (elektronne vydannia). Natsionalnyi bank Ukrainy: Ofitsiine internet-predstavnytstvo. Available: http://bank.gov.ua/control/uk/publish/category?cat_id=57897
- Elektronna systema opryliudnennia informatsii pro diialnist nederzhavnykh pensiinykh fondiv. Derzhfinposluh. Available: http://npf.nfp.gov.ua/
- Chandrakantha, L. (2014). Using Excel Solver in optimization problems. Available: http://archives.math.utk.edu/ICTCM/VOL23/C006/paper.pdf
- McNair, J. A. (2003, April 14). Using Microsoft Excel to build Efficient Frontiers via the Mean Variance Optimization Method. Available: http://ms.mcmaster.ca/~grasselli/john.pdf
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2016 Наталія Олександрівна Небаба
![Creative Commons License](http://i.creativecommons.org/l/by/4.0/88x31.png)
This work is licensed under a Creative Commons Attribution 4.0 International License.
The consolidation and conditions for the transfer of copyright (identification of authorship) is carried out in the License Agreement. In particular, the authors reserve the right to the authorship of their manuscript and transfer the first publication of this work to the journal under the terms of the Creative Commons CC BY license. At the same time, they have the right to conclude on their own additional agreements concerning the non-exclusive distribution of the work in the form in which it was published by this journal, but provided that the link to the first publication of the article in this journal is preserved.