Investment Strategies in the Funded Pillar of the Slovak Pension System

被引：0

作者：

Melichercik, Igor ^{[1
]}

Szucs, Gabor ^{[1
]}

Vilcek, Igor ^{[2
]}

机构：

[1] Comenius Univ, Fac Math Phys & Informat, Dept Appl Math & Stat, Bratislava 84248, Slovakia

[2] Tatra Asset Management, Bratislava 81000, Slovakia

来源：

EKONOMICKY CASOPIS | 2015年 / 63卷 / 02期

关键词：

dynamic stochastic programming; funded pillar; utility function; risk aversion; Slovak pension system; defined contribution pension scheme; pension portfolio simulations; glide path;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We present a dynamic model for optimal investment decisions in privately managed defined contribution (DC) pension plans. Stock prices are assumed to be driven by the geometric Brownian motion. Interest rates are modelled by means of the Cox-Ingersoll-Ross model (CIR). The model determines an optimal fraction of pensioner's savings (in time) to be invested in an equity fund, with the rest invested in a bond fund. Next, we present sensitivity analysis with respect to various relevant parameters. We also perform stress-testing of optimal investment decisions under different equity return scenarios. The entire analysis is carried out on the actual Slovak DC scheme and all model parameters are calibrated by the latest available data.

引用

页码：133 / 151

页数：19

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