№ 1/2016

Fìnansi Ukr. 2016 (1): 80–98

PENSION REFORM

TKACHENKO Nataliia ¹, SHABANOVA Olena Viktorivna

¹Taras Shevchenko National University of Kyiv
OrcID ID : https://orcid.org/0000-0001-6312-4586

The enhancement of scientific and methodical approach to optimization of an investment portfolio of private state pension funds

A logical structural scheme of formation and revising of an investment portfolio of private state pension funds has been developed. It envisages formulation of the goal and choice of investment strategy, assessment of the amount of investment potential, collection of information about financial instruments, considering investment potential, collection of information about financial instruments, which takes into account the volume of investment potential, collection of information about financial instruments, consideration of investment restrictions, assessment of relative effectiveness of different variants of investment portfolio formation, argumentation of an optimal variant of the portfolio, assessment of the effectiveness of investment activity of private state pension funds according to the normative dynamic model, monitoring of the factors, that condition the necessity of financial instruments rotation and re-formation of an investment portfolio. The attention has been focused on the duties of the investment assets manager of private state pension funds to use various criteria of optimization of an investment portfolio. Depending on the particular situation the criteria of portfolio optimization may be the following: the minimal possible risk, the maximum possible profit, minimal risk at a given rate of profitability, maximum profitability at a given rate of risk, the risk assets gain. The risk assets gain represents a proportion of risk flexibility of every asset and its average profitability. The flexibility of asset profitability with regard to the risk shows how the profitability of this asset changes when the amount of risk is changed by 1%. The optimal structure of an investment portfolio according to the criterion “profitability — risk” is proportional to the risk flexibility of a particular asset. According to the minimal risk criterion the structure of an investment portfolio has to be proportional to one digit risk gains on assets. According to the maximum profitability criterion the share of each asset in the general portfolio must be proportional to the profitability rates that show the percentage of particular assets, which will secure a profit that is no less than the given one. It is necessary to fix the profitability of every asset at an average actual level and the dispersion of each asset take as quotas proportionate to the weights of the basic portfolio structure to determine the structure of an investment portfolio with minimal risk with a given profitability. It is necessary to fix the dispersion of each asset at an actual level and to take the average profitability in quotas, proportionate to the weights of basic structure to determine the structure of an investment portfolio with the maximum profitability at a given risk rate.

Keywords:private state pension funds, investment portfolio, investment decisions, pension assets, correlation of assets, the rate of risk flexibility, the rate of risk gains.

JEL: G20, G23

TKACHENKO N. . The enhancement of scientific and methodical approach to optimization of an investment portfolio of private state pension funds / N. . TKACHENKO, O. V. SHABANOVA // Фінанси України. - 2016. - № 1. - C. 80-98.

Article original in Ukrainian (pp. 80 - 98)

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