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Problems of Formation and Evaluation of Strategies for Portfolio Investment of Pension Reserves, Accruals and Collective Investments in Russia

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  • Akshentseva, Ksenya

    () (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • Abramov, Alexander

    () (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • Chernovà, Maria

    () (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

Abstract

The present study examined ways to improve the efficiency of portfolio management of pension savings in the Russian Federation. It examined the factors affecting the real return of pension portfolios in different countries; The role of a more liberal requirements on the composition and structure of the portfolio of pension savings, as well as anti-inflationary policy in raising the real rate of return on investment. For the first time on the example of the portfolios of pension savings and mutual funds in Russia is a key role in the profitability of these portfolios factor asset allocation compared with the strategies of active management. Separately considered determinants of stiffness requirements on the composition and structure of assets of pension savings in the different countries, and assess the feasibility of mitigating these requirements for pension funds and asset management companies.

Suggested Citation

  • Akshentseva, Ksenya & Abramov, Alexander & Chernovà, Maria, 2015. "Problems of Formation and Evaluation of Strategies for Portfolio Investment of Pension Reserves, Accruals and Collective Investments in Russia," Published Papers mn24, Russian Presidential Academy of National Economy and Public Administration.
  • Handle: RePEc:rnp:ppaper:mn24
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    References listed on IDEAS

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    1. Kandice H. Kahl, 1986. "A Reformulation of the Portfolio Model of Hedging: Comment," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(4), pages 1007-1009.
    2. Randle, Tony & Rudolph, Heinz P., 2014. "Pension risk and risk-based supervision in defined contribution pension funds," Policy Research Working Paper Series 6813, The World Bank.
    3. Ian Tonks, 2005. "Performance Persistence of Pension-Fund Managers," The Journal of Business, University of Chicago Press, vol. 78(5), pages 1917-1942, September.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. Peterson, David & Rice, Michael L, 1980. " A Note on Ambiguity in Portfolio Performance Measures," Journal of Finance, American Finance Association, vol. 35(5), pages 1251-1256, December.
    6. Xiaohong Huang & Ronald Mahieu, 2012. "Performance Persistence of Dutch Pension Funds," De Economist, Springer, vol. 160(1), pages 17-34, March.
    7. Aglietta, Michel & Brière, Marie & Rigot, Sandra & Signori, Ombretta, 2012. "Rehabilitating the role of active management for pension funds," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2565-2574.
    8. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    9. Sensoy, Berk A., 2009. "Performance evaluation and self-designated benchmark indexes in the mutual fund industry," Journal of Financial Economics, Elsevier, vol. 92(1), pages 25-39, April.
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    Keywords

    portfolio management; pension savings; pension funds; collective investments;

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