Economics, Finance and Accounting- Vol. 1 No. 11 (2023): 202
2023; 5–16
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OPTIMAL ALLOCATION OF PENSION FUNDS. SENSITIVITY ANALYSES OF THE ADJUSTED SHARPE RATIO

Rita Hovhannisyan*

Received: 2025-05-16 · Published: 2023-04-29

© 2023 The Author(s) and the original publisher.

CC BY-NC 4.0 This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
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Original title
OPTIMAL ALLOCATION OF PENSION FUNDS. SENSITIVITY ANALYSES OF THE ADJUSTED SHARPE RATIO
Author
Rita Hovhannisyan
Source journal
Economics, Finance and Accounting- Vol. 1 No. 11 (2023): 202
Published
2023-04-29
Licence
Creative Commons Attribution-NonCommercial 4.0 International
Original
https://doi.org/10.59503/29538009-2023.1.11-5

Abstract

In order to optimally manage pension funds, an optimal portfolio is constructed under various constraints. The Sharpe and adjusted Sharpe ratios are calculated. An assessment of the symmetry and spread coefficients of the optimal portfolio yield is made. A sensitivity analysis of the optimal portfolio is performed and founded that when using the Sharpe ratio as a decision criterion, the optimal limit for the country and asset is 35%, while under RA law it is 15%, and the obtained result is stable with respect to symmetry and spread.
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