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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Alexandra Simanovskaya
Managing Risk and Return in Defined Contribution Pension Plans in Russia
9
2017
In this paper I presented the results of my simulation of the stochastic average annual return of the pension savings portfolio for various combinations of asset weights over a time horizon of 30 years, with an assessment of the level of risk for each combination. The average annual yield and risk levels of Vnesheconombank's conservative and expanded portfolios for the thirty-year period were predicted. In the second stage of the study, a comparative analysis was made of the impact on the portfolio set of legislative restrictions on the assets of the portfolio of pension accumulations and restrictions on the VaR portfolio. At the third stage of the study, an analysis was made of the addition of foreign assets to the portfolio. At the final stage of the study, the coefficient of lost earnings was modeled and optimal strategies were chosen to achieve a level of pensions meeting international standards with a minimum level of risk

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