INVESTMENT STRATEGIES IN THE FUNDED PILLAR OF THE SLOVAK PENSION SYSTEM

• Autorzy: Melicherčík Igor , Gábor Szűcs , Igor Vilček
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

STOCHASTIC PROGRAMMING; SLOVAK PENSION SYSTEM; PENSION PORTFOLIO; GLIDE PATH; SLOVAKIA

• Wydawca: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Czasopismo: Ekonomický časopis (Journal of Economics)
• Rocznik: 2015
• Tom: 63
• Numer: 2
• Strony: 133 – 151

Twórcy

autor

Melicherčík Igor

• Univerzita Komenského, Fakulta matematiky, fyziky a informatiky, Mlynská dolina, 842 48 Bratislava, Slovak Republic,

autor

Gábor Szűcs

autor

Igor Vilček