Economic and Mathematical Approaches to the Development of a Financial Asset Management Model of the UAPF

Abstract

This study delves into the optimization of investment portfolios within the Unified Accumulative Pension Fund in Kazakhstan, employing the Quasi-Sharp model as a pivotal tool. Through a meticulous analysis of the UAPF's investment portfolio evolution, this research scrutinizes shifts in asset allocation and their ramifications on investment returns. The Quasi-Sharp model, a tailored adaptation of the Sharpe model, is harnessed to ascertain the optimal equilibrium between profitability and risk in pension asset management. The STATA program was used to calculate the indicators. Results divulge the imperative role of diversification across various asset classes in mitigating risk while maximizing returns. Optimal investment portfolios are meticulously crafted, considering an array of financial instruments such as stocks, bonds, and bank deposits. The findings underscore that while stocks proffer higher potential returns, bonds offer stability and lower risk. Additionally, bank deposits exhibit stable returns, albeit with limited growth prospects. The study revealed that the maximum expected return with a risk limit of less than 5% could be provided by a portfolio including shares of Halyk Savings Bank of Kazakhstan, Kcell, and KazTransOil in the ratio of 57%, 32%, and 11%, respectively. Key recommendations for investors encompass regular monitoring of market dynamics, diligent assessment of risk tolerance, and recourse to professional advice when warranted. This study furnishes invaluable insights for pension fund managers and investors endeavoring to augment portfolio performance while adeptly managing risk within the Kazakhstani market landscape.

Keywords

• quasi-sharp model
• pension assets
• investments
• profitability
• market portfolio
• single portfolio
• funding
• securities
• stocks
• bonds