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2020, vol. 22, br. 3, str. 235-249
Performanse dinamičkih i statičkih investicionih strategija u penzijskim fondovima
Univerzitet u Kragujevcu, Ekonomski fakultet

e-adresaslukovic@kg.ac.rs
Ključne reči: dinamičke investicione strategije; statičke investicione strategije; penzijski fondovi; strategija životnog ciklusa; bootstrap reuzorkovanje
Sažetak
Članovi penzijskih fondova sredstva akumuliraju regularnim uplatama doprinosa u unapred definisanim intervalima i investiranjem akumuliranih sredstava izborom jedne od investicionih strategija koje su na raspolaganju u penzijskim fondovima. Nakon Svetske ekonomske krize iz 2009, aspekt očuvanja vrednosti akumuliranih sredstava postao je naročito važan u penzijskim fondovima, što je uticalo na proces izbora investicione strategije njegovih članova. Statičke investicione strategije, u uslovima rastućih fluktuacija na finansijskom tržištu, ne predstavljaju zadovoljavajuće rešenje za osiguranike u penzijskim fondovima, imajući u vidu odsustvo reakcije na učestale fluktuacije na finansijskom tržištu. U radu je izvršena komparativna analiza performansi dinamičkih i statičkih oblika strategije životnog ciklusa, korišćenjem bootstrap reuzorkovanja za simuliranje investicionih prinosa i VaR pokazatelja za procenu rizika realizacije nepovoljnog finansijskog rezultata u trenutku penzionisanja. Rezultati analize pokazuju da dinamičke strategije životnog ciklusa generišu povoljnije finansijske rezultate u odnosu na statičke strategije životnog ciklusa, uz neznatno veću verovatnoću realizacije ekstremno nepovoljnih ishoda.
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O članku

jezik rada: srpski
vrsta rada: izvorni naučni članak
DOI: 10.5937/ekonhor2003235L
primljen: 20.02.2020.
prihvaćen: 18.12.2020.
objavljen onlajn: 25.12.2020.
objavljen u SCIndeksu: 29.12.2020.
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