Enter the e-mail address associated with your account.
Click "send" to have your password e-mailed to you.

Email:
Institute of Public Finance

Creative Commons License
This work is licensed under a Creative Commons Attribution-NoDerivatives 4.0 International License
Archive
print

Risk analysis of the proxy life-cycle investments in the second pillar pension scheme in Croatia


Renata Kovačević, Raiffeisen Mandatory and Voluntary Pension Funds Management Company Plc, Zagreb, Croatia
Mladen Latković, Raiffeisen Mandatory and Voluntary Pension Funds Management Company Plc, Zagreb, Croatia


Abstract
In this article we analyze the expected risk of pension funds with different risk profiles in the proxy life-cycle model of investments for the 2nd pillar pension scheme in Croatia. The benefits of implementing proxy life-cycle investments, compared to the previous model of mandatory pension funds investments, are clearly visible in the total expected amount of accumulated savings from the risk/return perspective. However, those benefits are partially diminished by the fact that the expected risk of a pension fund with the lowest risk profile is not substantially different from the expected risk of a pension fund with a medium risk profile, due to the lack of diversification. Additionally, we analyze the robustness of the proxy life-cycle model to a sudden and severe market shock, where we determine the presence of risk for those members who choose to switch to a pension fund with a lower risk profile at an unfavorable moment.

Keywords:  defined contribution system; pension funds; life-cycle investing; portfolio risk

Year:  2015   |   Volume:  39   |   Issue:  1   |   Pages:  31 - 55   

Full text (PDF)   |   DOI: 10.3326/fintp.39.1.2   |   E-mail this article   |   Download to citation manager
 March, 2015
I / 2015
DOAJ
Hrčak
RePEc
CrossRef
CrossCheck
EBSCO Publishing
ISSN 1846-887X
e-ISSN 1845-9757
In order to give you a better user experience, cookies have been stored on your computer.
By accessing the website www.fintp.hr the user has given consent to using cookies. More information