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Measuring Risk-Ajusted Return of Bulgarian Voluntuary Pension Funds

Author

Listed:
  • Georgi Georgiev

    (University of Agribusiness and Rural Development)

  • Nikolina Mareva

    (University of Agribusiness and Rural Development)

Abstract

The purpose of presented manuscript is to evaluate and ranks the Bulgarian voluntary pension funds in the term risk-adjusted return. The segment of voluntary pension funds is chosen because exactly here financial managers make significant efforts in the management of their portfolios and the competition in the sector is realized to the greatest extent. Risk-adjusted returns are calculated using the indicators as: Sharp coefficient, Treynor coefficient, RAROC with VaR framework, Sortino coefficient and Omega.

Suggested Citation

  • Georgi Georgiev & Nikolina Mareva, 2018. "Measuring Risk-Ajusted Return of Bulgarian Voluntuary Pension Funds," Regional Economy and Sustainable Development, Conference Proceedings 2017, Research Institute, University of Economics - Varna, issue 2, pages 342-355, March.
    • Handle: RePEc:vra:pr1803:y:2018:i:2:p:342-355
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    More about this item

    Keywords

    pension funds; portfolio evaluation; Sharpe ratio; Treynor ratio; Jensen ratio; RAROC with VaR Sortino ratio.;
    All these keywords.

    JEL classification:

    • A00 - General Economics and Teaching - - General - - - General

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