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Pension Capital Investment in the Context of a Private Pension Fund

Author

Listed:
  • Artur Mitsel
  • Olga Rekundal

Abstract

An analysis of the pension legislation has been performed, particularly in the field of restrictions on asset allocation into various funds, and a model for real investment profile has been proposed that secures minimal risk at the given profitability and satisfies legal requirements, as well as immunizes the sub-portfolio of risk-free securities from changes in the market interest rate. The numerical experiment has been carried out with and without regard to transaction expenses. It has been estimated that frequent renegotiation of the portfolio leads to a decrease in profits from investing as a result of transaction expenses.

Suggested Citation

  • Artur Mitsel & Olga Rekundal, 2016. "Pension Capital Investment in the Context of a Private Pension Fund," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 112-125.
    • Handle: RePEc:bas:econst:y:2016:i:1:p:112-125
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    References listed on IDEAS

    as
    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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    More about this item

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • G00 - Financial Economics - - General - - - General
    • P00 - Political Economy and Comparative Economic Systems - - General - - - General

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