IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Equity Asset Allocation Model for EUR-based Eastern Europe Pension Funds

Listed author(s):
  • Robert Kitt


    (Hansa Investment Funds)

Registered author(s):

    This paper is aimed to explain the choice of instrument mix for EUR-based long-term equity investors, like pension funds, in the Eastern Europe. It is assumed that investments into local securities are the investorsí preferred choice. Markowitz mean-variance optimization was used for determining optimal portfolios. Exponentially weighted historical time-series were used for input data. After finding an efficient set of portfolios hypothetical 100Ä was invested (as of March 1993) into the portfolio and this investment was benchmarked against EUR-hedged MSCI World index. Different portfolio mixes with several rebalancing frequencies were tested in the way described. Portfolio mix proposed for real investments is the following: MSCI, North America (40%); MSCI, Europe (35%); MSCI Pacific (10%); MSCI Emerging Markets Free (10%) and MSCI Eastern Europe (5%). This portfolio mix gave a positive result over the period compared to benchmark. Suggested rebalancing frequency is 1 month.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Paper provided by Tallinn School of Economics and Business Administration, Tallinn University of Technology in its series Working Papers with number 119.

    in new window

    Length: 10
    Date of creation: 2004
    Publication status: Published in Working Papers in Economics, School of Economics and Business Administration,Tallinn University of Technology (TUTWPE), Pages 245-254
    Handle: RePEc:ttu:wpaper:119
    Note: The author would like to thank Dr Jaan Kalda for fruitful discussions and Hansa Investment Funds Ltd for supporting the research. The financial support from the Estonian Science Foundation (grant No 5036) is greatly appreciated.
    Contact details of provider: Postal:
    Kopli tn. 101, 11712 Tallinn

    Phone: +(372)620 3535
    Fax: +(372)620 3946
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ttu:wpaper:119. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Urve Venesaar)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.