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master's thesis
OPTIMALNO ULAGANJE SREDSTAVA DRUGOG MIROVINSKOG STUPA U REPUBLICI HRVATSKOJ
Zagreb: University of Zagreb, Faculty of Economics and Business, 2019. urn:nbn:hr:148:357720
Pavković, Ivan
University of Zagreb
Faculty of Economics and Business
Department of Finance

Institutional repository: REPEFZG

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Pavković, I. (2019). OPTIMALNO ULAGANJE SREDSTAVA DRUGOG MIROVINSKOG STUPA U REPUBLICI HRVATSKOJ (Master's thesis). Zagreb: University of Zagreb, Faculty of Economics and Business. Retrieved from https://urn.nsk.hr/urn:nbn:hr:148:357720

Pavković, Ivan. "OPTIMALNO ULAGANJE SREDSTAVA DRUGOG MIROVINSKOG STUPA U REPUBLICI HRVATSKOJ." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2019. https://urn.nsk.hr/urn:nbn:hr:148:357720

Pavković, Ivan. "OPTIMALNO ULAGANJE SREDSTAVA DRUGOG MIROVINSKOG STUPA U REPUBLICI HRVATSKOJ." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2019. https://urn.nsk.hr/urn:nbn:hr:148:357720

Pavković, I. (2019). 'OPTIMALNO ULAGANJE SREDSTAVA DRUGOG MIROVINSKOG STUPA U REPUBLICI HRVATSKOJ', Master's thesis, University of Zagreb, Faculty of Economics and Business, accessed 19 November 2024, https://urn.nsk.hr/urn:nbn:hr:148:357720

Pavković I. OPTIMALNO ULAGANJE SREDSTAVA DRUGOG MIROVINSKOG STUPA U REPUBLICI HRVATSKOJ [Master's thesis]. Zagreb: University of Zagreb, Faculty of Economics and Business; 2019 [cited 2024 November 19] Available at: https://urn.nsk.hr/urn:nbn:hr:148:357720

I. Pavković, "OPTIMALNO ULAGANJE SREDSTAVA DRUGOG MIROVINSKOG STUPA U REPUBLICI HRVATSKOJ", Master's thesis, University of Zagreb, Faculty of Economics and Business, Zagreb, 2019. Available at: https://urn.nsk.hr/urn:nbn:hr:148:357720

Metadata
TitleOPTIMALNO ULAGANJE SREDSTAVA DRUGOG MIROVINSKOG STUPA U REPUBLICI HRVATSKOJ
Title (english)OPTIMAL INVESTMENT OF THE SECOND PENSION PILLAR ASSETS IN THE REPUBLIC OF CROATIA
AuthorIvan Pavković
MentorMihovil Anđelinović (mentor)
Committee memberDrago Jakovčević (predsjednik povjerenstva)
Committee memberMaja Mihelja Žaja (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Economics and Business
(Department of Finance)
Zagreb
Defense date and country2019-09-10, 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
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:148:357720
Study programmeTitle: Business Economics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2019-09-10 10:55:14