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- Title
PENSION CAPITAL INVESTMENT IN THE CONTEXT OF A PRIVATE PENSION FUND.
- Authors
Mitsel, Artur; Rekundal, Olga
- 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.
- Subjects
PENSION laws; PROFIT; SECURITIES; INTEREST rates; TRANSACTION costs
- Publication
Economic Studies, 2016, Vol 25, Issue 1, p113
- ISSN
0205-3292
- Publication type
Article