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CORRELATION ANALIYSIS BETWEEN PERFORMANCES OF THE PRIVATELY MANAGED PENSION FUNDS AND THEIR ASSET INVESTMENT ALLOCATION IN ROMANIA
D, Assoc. Prof. Mirela Cristea Ph. - In: Annals of University of Craiova - Economic Sciences Series 4 (2011) 39, pp. 213-222
The main objective of this paper is to determine in what extent the performances of the privately managed pension funds in Romania, second pillar, are influenced by the investment allocation of their total net assets, in order to improve that performances. The research methodology consists in...
Persistent link: https://www.econbiz.de/10010550636
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EVOLUTION OF NET ASSETS OF PRIVATE PENSION FUNDS IN ROMANIA UNDER THE INFLUENCE OF CERTAIN FACTORS
Cristea, Simona Mirela - In: Annals of University of Craiova - Economic Sciences Series 3 (2012) 40, pp. 39-46
economic and financial crisis, which caused a reallocation of their investments towards investments with low risk, mainly … oriented towards domestic investments. Consequence of the decline of the private pension fund assets on behalf of their … influence factors has strong implications over the declining of the contributors’ confidence in these types of investments, with …
Persistent link: https://www.econbiz.de/10010627876
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Empirical risk analysis of pension insurance: the case of Germany
Schmieder, Christian; Reinschmidt, Timo; Mager, Ferdinand; … - 2006
With this paper we seek to contribute to the literature on pension insurance systems. The financial literature tends to focus exclusively on the US pension insurance system. This is the first major empirical study to address the German occupational pension insurance (PSVaG) plan in Germany. The...
Persistent link: https://www.econbiz.de/10010295914
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CAPM with various utility functions: Theoretical developments and application to international data
Bedoui, Rihab; BenMabrouk, Houda - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-21
This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the investor preferences and attitudes toward risk. We...
Persistent link: https://www.econbiz.de/10011988769
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Performance of mutual equity funds in Brazil – A bootstrap analysis
Laes, Marco Antonio; da Silva, Marcos Eugênio - In: EconomiA 15 (2014) 3, pp. 294-306
This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied to separate skill from luck. The results show that...
Persistent link: https://www.econbiz.de/10011858419
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Trayectorias óptimas de inversión durante el ciclo de vida en un sistema de multifondos
Arboleda Bedoya, Alejandra; Soto Quintero, Carlos Alberto; … - In: Journal of Economics, Finance and Administrative Science 18 (2013) 35, pp. 72-88
Teniendo en cuenta el nuevo esquema de multifondos en Colombia, perteneciente al Régimen de Ahorro Individual, se realizó un análisis mediante la aplicación de herramientas estocásticas y actuariales, con el fin de determinar el momento en el cual un agente (de acuerdo con sus...
Persistent link: https://www.econbiz.de/10011859348
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Mortality-Indexed Annuities. Managing Longevity Risk via Product Design
Richter, Andreas; Weber, Frederik - 2009
Longevity risk has become a major challenge for governments, individuals, and annuity providers in most countries, and especially its aggregate form, i.e. the risk of unsystematic changes to general mortality patterns, bears a large potential for accumulative losses for insurers. As obvious risk...
Persistent link: https://www.econbiz.de/10010427774
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Mortality-Indexed AnnuitiesManaging Longevity Risk via Product Design
Richter, Andreas; Weber, Frederik - Universität <München> / Institut für … - 2009
Longevity risk has become a major challenge for governments, individuals, andannuity providers in most countries, and especially its aggregate form, i.e. therisk of unsystematic changes to general mortality patterns, bears a large potentialfor accumulative losses for insurers. As obvious risk...
Persistent link: https://www.econbiz.de/10009248856
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Mortality-indexed annuities : managing longevity risk via product design
Richter, Andreas; Weber, Frederik - 2009
Longevity risk has become a major challenge for governments, individuals, and annuity providers in most countries, and especially its aggregate form, i.e. the risk of unsystematic changes to general mortality patterns, bears a large potential for accumulative losses for insurers. As obvious risk...
Persistent link: https://www.econbiz.de/10003922710
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Dynamic Model of Pension Savings Management with Stochastic Interest Rates and Stock Returns
Melichercik, Igor - 2011
and bond investments during accumulation of pension savings. The model has been proposed and analyzed by the authors. We …
Persistent link: https://www.econbiz.de/10013133329