BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Author
Wolski Rafał (Uniwersytet Łódzki), Załęczna Magdalena (Uniwersytet Łódzki)
Title
Nieruchomość jako składnik portfela inwestycyjnego funduszu emerytalnego
Immovables as a Component of Investment Portofolio of Retiring Funds
Source
Studia Prawno-Ekonomiczne, 2009, t. 79, s. 225-239, rys., tab., bibliogr. 25 poz.
Studies in Law and Economics
Keyword
Nieruchomości, Inwestowanie, Fundusze emerytalne, Portfel inwestycyjny
Real estate, Investing, Pension funds, Investment portfolio
Note
summ.
Abstract
W artykule przeanalizowano działalność inwestycyjną funduszy emerytalnych. Omówiono takie zagadnienia jak: zasady i regulacje inwestycyjne na szczeblu międzynarodowym, aktywa w portfelach inwestycyjnych funduszy emerytalnych, fundusze emerytalne w świetle polskiej regulacji. Autorzy artykułu przeprowadzili i opisali także badanie wpływu dodania nieruchomości do portfela inwestycyjnego funduszu emerytalnego.

Legal limitations in Poland regarding activities of retiring funds exclude their direct investing in immovables, which leads to the decreasing of their diversification options, and consequently - in the authors' to this paper opinion - to increasing potential investment risks. By means of some quantitative methods the authors analyze the effectiveness of investment portfolios of the retiring funds in Poland. The purpose of the present research is to achieve an answer to the question whether adding immovables to the investment portfolios of the Polish retiring funds would result in their better diversification and effectiveness.(original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
Bibliography
Show
  1. Flaherty S., Li J. 2004. Composite Performance Measures. Chinese Economy,37/3: 39-66.
  2. Guidelines on Pension Fund Asset Management, OECD 2006.
  3. Henzel H., Ramian T., Śmietana K., Zagórska E. 2007, Znaczenie inwestorów instytucjonalnych na polskim rynku nieruchomości, Nieruchomość, 1.
  4. Hoesli M., Hamelink F. 1997, An examination of the role of Geneva and Zurich housing in Swiss institutional portfolios. Journal of Property Valuation and Investment, 15(4): 354-371.
  5. Hoesli M., Lekander J., Witkiewicz W. 2003, Real estate in the institutional portfolio: a comparison of suggested and actual weights, Journal of Alternative Investments, 7(3): 53-59.
  6. Hoesli M., Lekander J., Witkiewicz W. 2004, International evidence on real estate as a portfolio diversifier, Journal of Real Estate Research, 26(2): 161-206.
  7. Hoesli M., Lekander J. 2005, Suggested vs. actual institutional allocations to real estate in Europe: A matter of size?, Journal of Alternative Investments, 8(2): 62-70.
  8. Israelsen C . L. 2005, A refinement to the Sharpe ratio and information ratio. Journal of Asset Management, 5/6: 423-427.
  9. Jensen M .C. 1968, The Performance of Mutual Founds in the Period 1945-1964. Journal of Finance, 23: 389-417.
  10. Jobson J. D., Korkie B. M. 1981, Performance Hypothesis Testing with the Sharpe and Treynor Measures. Journal of Finance, 36: 889-908.
  11. Markowitz H. M. 1952, Portfolio Selection. Journal of Finance, 7/1:77-91.
  12. OECD "Survey of Investment Regulation of Pension Fund", 2008.
  13. Recommendation of the Council Core Principles of Occupational Pension Regulation, 2004.
  14. Recommendation of the Council Core Principles of Occupational Pension Regulation, 2009.
  15. Pilotte E. A., Sterbenz F. P. 2006, Sharpe and Treynor Ratios on Treasury Bonds. Journal of Business, 79:149-180.
  16. Quan D. C., Titman, S. 1999, Do real estate prices and stock prices move together? An international analysis, Real Estate Economics, 27(2), 183-207.
  17. Seiler M. J., Webb J. R., Myer F. C. N. 1999. Diversification issues in real estate investment, Journal of Real Estate Literature, 7(2): 163-179.
  18. Sharpe W. 1963, A Simplified Model for Portfolio Analysis, Management Science, 9: 277-293.
  19. Sharpe W. 1964, Capital Asset Prices : A Theory of Market Equilibrium UnderCondition of Risk, Journal of Finance, 19: 425-442.
  20. Sharpe W. 1966, Mutual Fund Performance. Journal of Business 39: 110-138.
  21. Sharpe W. 1994, The Sharpe Ratio. Journal of Portfolio Management, 21: 49-58.
  22. Treynor J. 1961, Market Value, Time and Risk. nieopublikowany referat.
  23. Treynor J. 1966, How to Rate Management Investment Funds, Harvard Business Review, 43: 63-75.
  24. Worzala E., Sirmans C. F., Lizieri C., Schulte K.-W., OO I J., Hordijk A., Newell G. 2006, An International Comparative Study of the Pension Plan Community and Real Estate Investments, Hartford (CT): Pensions Real Estate Association.
  25. Ziobrowski B. J., Ziobrowski A. J 1997, Higher real estate risk and mixed-asset portfolio performance. Journal of Real Estate Portfolio Management, 3(2): 107-115.
Cited by
Show
ISSN
0081-6841
Language
pol
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu