Methods of Portfolio Management for Listed Shares. Some Features for the Romanian Private Pension Funds

Keywords

private pension system, portfolio+management, investments, score function, Likert scale

Abstract

Recently, Romania put into practice the private pension system, which includes compulsory pensions and voluntary ones, as alternatives to statutory (public) pension scheme. According to the Romanian laws, private pension funds can invest in securities issued on regulated and supervised market from Romania, EU Member States, European Economic Space, and third countries a percentage ranging between 10% and 50% of the total pension fund assets. This study should be viewed in the current global financial context whereas, currently, the most powerful and stable financial markets are experiencing problems with the sudden drop in financial asset prices, low liquidity and a reduction in investment on the capital market. The administrators of these funds for the fundamental analysis applied on securities should consider the social component of their activity, since the public pension system is undercapitalized and encountered many problems arising from the influence of economic, social, demographic, political factors. In this article, for the selection of listed stocks to be included in a portfolio, we propose a score function. Using this method we determine which of the companies analyzed previously had the best performance in terms of an investor with risk aversion, and the final goal will be identify the best three companies included in BET index in terms of return and risk. The weights of each indicator were the results of the use of Likert scale.

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