| bibtype |
J -
Journal Article
|
| ARLID |
0483752 |
| utime |
20240103215234.4 |
| mtime |
20180101235959.9 |
| WOS |
000414182000001 |
| SCOPUS |
85045838256 |
| DOI |
10.1080/1331677X.2017.1383169 |
| title
(primary) (eng) |
The risk-return profile of Lithuanian private pension funds |
| specification |
| page_count |
20 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0344343 |
| ISSN |
1331-677X |
| title
|
Ekonomska Istrazivanja |
| volume_id |
30 |
| volume |
1 (2017) |
| page_num |
1611-1630 |
|
| keyword |
Pension system reform |
| keyword |
private pension funds |
| keyword |
performance ratios |
| keyword |
risk– return measuring |
| keyword |
clustering |
| author
(primary) |
| ARLID |
cav_un_auth*0356100 |
| name1 |
Kabašinskas |
| name2 |
A. |
| country |
LT |
|
| author
|
| ARLID |
cav_un_auth*0356101 |
| name1 |
Šutienė |
| name2 |
K. |
| country |
LT |
|
| author
|
| ARLID |
cav_un_auth*0254103 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
25 |
| name1 |
Kopa |
| name2 |
Miloš |
| institution |
UTIA-B |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0356102 |
| name1 |
Valakevičius |
| name2 |
E. |
| country |
LT |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0292622 |
| project_id |
GA13-25911S |
| agency |
GA ČR |
|
| abstract
(eng) |
The introduction of a private pension funds in conjunction with the public social security system is the essence of pension system reform that was implemented in Lithuania. The performance of private funds is mainly presented by fund’s net asset value and few classical risk estimates. Such evaluation shows the management company’s ability to profitably invest funds, but does not give the evidential risk-return evaluation. This paper refers to the overall statistical analysis of 26 private pension funds over a certain time period. The objective of the research is to determine the risk-return profile of pension funds and to answer the question whether the categories specified\nbased on investment strategy in equities reflect fund’s empirical behaviour. Research methodology includes the statistical analysis, risk measuring, performance ratio estimation, and K-means clustering. The conclusions obtained by the research allow determining whether the distinct pension funds have beaten a low risk reference and are adequately assigned to a certain risk category. |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2018 |
| num_of_auth |
4 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0279517 |
| confidential |
S |
| mrcbC86 |
2 Article Economics |
| mrcbC86 |
2 Article Economics |
| mrcbC86 |
2 Article Economics |
| mrcbT16-e |
ECONOMICS |
| mrcbT16-j |
0.097 |
| mrcbT16-s |
0.404 |
| mrcbT16-B |
5.422 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q3 |
| arlyear |
2017 |
| mrcbU14 |
85045838256 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000414182000001 WOS |
| mrcbU63 |
cav_un_epca*0344343 Ekonomska Istrazivanja 1331-677X 1848-9664 Roč. 30 č. 1 2017 1611 1630 |
|