OPTIMALNO ULAGANJE SREDSTAVA DRUGOG MIROVINSKOG STUPA U REPUBLICI HRVATSKOJ

master's thesis

• Title (english): OPTIMAL INVESTMENT OF THE SECOND PENSION PILLAR ASSETS IN THE REPUBLIC OF CROATIA
• Author: Ivan Pavković
• Mentor: Mihovil Anđelinović (mentor)
• Committee member: Drago Jakovčević (predsjednik povjerenstva)
• Committee member: Maja Mihelja Žaja (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Finance); Zagreb
• Defense date and country: 2019-09-10, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Finance

Abstract

Hrvatski mirovinski sustav karakterizira duga tradicija i brojni problemi koji dovode održivost mirovinskog sustava u pitanje. Nedostatak sredstava za isplatu mirovina predstavlja zajedno s trendom starenja stanovništva ključni problem mirovinskog sustava. Obvezni mirovinski fond koji se temelji na kapitaliziranoj individualnoj štednji predstavlja drugi mirovinski stup, čija je struktura ulaganja glavna tema ovoga rada. Godišnji prinosi obveznih mirovinskih fondova u posljednjih nekoliko godina iznosili su otprilike 2% do 5% godišnje. Najveće prosječne prinose ostvaruje fond A, a najmanje fond C. Najveći udio u ukupnoj imovini fondova ima fond kategorije B. U ovom se radu pomoću metoda matematičkog programiranja otkriva optimalna struktura portfelja mirovinskih fondova za sve tri kategorije ulaganja. Rješava se dualni problem maksimizacije očekivanog prinosa portfelja i minimizacije rizika portfelja pomoću linearnog i kvadratnog programiranja. Analiza također pokazuje u kojoj su mjeri optimalni portfelji uvjetovani zakonskim ograničenjima.

Abstract (english)

The Croatian pension system is characterized by a long tradition and numerous problems that lead to an unsustainable system. Inability to collect enough resources to finance current pensioners together with the aging population trend make the key problem of the pension system. The second pension pillar includes mandatory pension funds based on capitalized individual savings whose investment structure is the main topic of this paper. The annual returns of mandatory pension funds in the last few years amounted to approximately 2-5% per annum. The highest average yields were achieved in the Fund A, and the smallest, as expected, in C. The largest share of pension funds’ total assets is allocated to the Fund B. This paper uses methods of mathematical programming to reveal the optimal portfolio structure of pension funds for all three fund categories. The dual problem of maximizing the expected portfolio yield and variance minimization is solved by linear and quadratic programming. The analysis also shows the extent to which optimal portfolios are subject to legal constraints.

• Keywords: drugi mirovinski stup; optimizacija portfelja; kvadratno programiranje; linearno programiranje.
• Keywords (english): second pension pillar; portfolio optimization; quadratic programming; linear programming.
• Language: croatian
• URN:NBN: urn:nbn:hr:148:357720
• Study programme: Title: Business Economics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2019-09-10 10:55:14