OPTIMAL ALLOCATION OF PENSION FUNDS. SENSITIVITY ANALYSES OF THE ADJUSTED SHARPE RATIO

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.