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

共 50 条

[31] OPTIMAL LIFE-CYCLE INVESTMENT STRATEGY IN LITHUANIAN SECOND PENSION PILLAR
Medaiskis, Teodoras
Gudaitis, Tadas
Meckovski, Jaroslav
INTERNATIONAL JOURNAL OF ECONOMIC SCIENCES, 2018, 7 (02): : 70 - 86
[32] Trust in the pension system and housing investment
Gholipour, Hassan F.
Tajaddini, Reza
Arjomandi, Amir
JOURNAL OF ECONOMIC STUDIES, 2024,
[33] Optimal DC pension investment strategies in a stochastic framework
Gao, Jianwei
Li, Tao
Chu, Zhonghua
International Conference on Management Innovation, Vols 1 and 2, 2007, : 1222 - 1227
[34] Dynamic preferences for popular investment strategies in pension funds
Bernard, Carole
Kwak, Minsuk
SCANDINAVIAN ACTUARIAL JOURNAL, 2016, (05) : 398 - 419
[35] IS A PARTIALLY FUNDED PENSION SYSTEM ABLE TO COUNTERACT THE CONSEQUENCES OF AGING
BLANCHET, D
POPULATION, 1988, 43 (01): : 77 - 102
[36] The effects of a fully funded pension system on individual savings behaviour
Öling, C
PENSIONS IN THE EUROPEAN UNION: ADAPTING TO ECONOMIC AND SOCIAL CHANGE, 2000, : 63 - 70
[37] Reality and expectations of old-age pension savings in the pension system of the Slovak Republic
Sika, Peter
Vidova, Jarmila
REVIEW OF ECONOMIC PERSPECTIVES, 2021, 21 (04) : 411 - 436
[38] Voluntary participation and intergenerational risk sharing in a funded pension system
Beetsma, Roel M. W. J.
Romp, Ward E.
Vos, Siert J.
EUROPEAN ECONOMIC REVIEW, 2012, 56 (06) : 1310 - 1324
[39] Failure of the Funded Model of the Russian Pension System: Reasons and Solutions
Grigorieva, Lyubov V.
Mytareva, Leyla A.
Shkarupa, Ekaterina A.
FUTURE OF THE GLOBAL FINANCIAL SYSTEM: DOWNFALL OR HARMONY, 2019, 57 : 371 - 383
[40] Household Economics, Information Sources and Annuity Choices: Annuitisation Preferences of Members of the Slovak Private Pension Pillar
Balaz, Vladimir
ECONOMIES, 2023, 11 (04)

← 1 2 3 4 5 →