Work detail

Role of real estate in portfolios of pension funds

Author: Mgr. Filip Vančura
Year: 2012 - summer
Leaders: PhDr. Pavel Streblov M.Sc.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 78
Awards and prizes:
Link:
Abstract: The objective of the thesis is to investigate the efficiency of pension funds’
investment strategy in the Czech Republic and the adequacy of the current level
of real estate investments in their portfolios. We employ Markowitz portfolio
theory and construct the optimal market investment portfolio. The optimal
portfolio is then compared with the portfolio of Czech pension funds and the
loss arising from asset class misallocation is estimated. Besides, the comparison
of portfolio structures of all current pension funds in the Czech Republic is
done with the intention to detect whether they follow significantly different
investment strategies or not. The analysis is done on quarterly data over the
period 2000 – 2011. In the last chapter of the thesis, other sources of market
inefficiency of the Czech pension funds are discussed.
Downloadable: DT Vančura

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance