Subject The management of pension savings of citizens by non-State pension funds should ensure the funds safety in order to avoid further acute problems of social nature, and acceptable savings yield. Objectives The purpose of the research is a feasibility study of amendments to the effective legislation to expand the list of assets available for investment of pension savings by private (non-State) pension funds. Such amendments will enable to increase profitability of investment portfolios of pension funds while maintaining minimal risk. Methods The instruments of the performed analysis include the methods of American economists Garry Markowitz and David Tobin, which are used to build optimal investment portfolios available for the investor. Results In the course of the study, we sequentially calculated two different types of investment portfolios. One of them consists of legally approved assets, and the other uses alternative assets, which we have proposed. Furthermore, we have analyzed American and European pension trusts that have more extensive experience as compared to Russian private pension funds. We propose a list of alternative assets, which should be considered by the lawmakers to be officially added to the list of legally allowed assets available for pension savings investment. Conclusions The optimal investment portfolios calculated under the Tobin and Markowitz methods based on the proposed alternative assets demonstrated higher profitability level along with comparable or lower risk indicator. The research results prove that expanding the list of investment tools available for investing the pension savings will allow private pension funds to gain portfolios profitability even in condition of economic uncertainty.
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