Investment Strategies in the Funded Pillar of the Slovak Pension System

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 optima...

Full description

Saved in:
Bibliographic Details
Published in:Ekonomický časopis 2015, Vol.63 (2), p.133-151
Main Authors: Melicherčík, Igor, Szucs , Gabor, Zetek, Pavel
Format: Article
Language:English
Subjects:
Economy
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by
cites
container_end_page 151
container_issue 2
container_start_page 133
container_title Ekonomický časopis
container_volume 63
creator Melicherčík, Igor
Szucs , Gabor
Zetek, Pavel
description 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 in-vested 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.
format article
fullrecord <record><control><sourceid>ceeol</sourceid><recordid>TN_cdi_ceeol_journals_164955</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><ceeol_id>164955</ceeol_id><sourcerecordid>164955</sourcerecordid><originalsourceid>FETCH-LOGICAL-c240t-e165b906e9052f39e898c77a50b1ac5768e9529bee997c2109725049ddc922db3</originalsourceid><addsrcrecordid>eNotjctKAzEUQLNQsFb_wEV-YODmPXcpxdZCwcLoumSSOzo1zcAkLfj3iro6cBbnXLEFgFCNAmVu2G0pRwANVrcLttnmC5V6olx5V2df6X2kwsfM6wfx9TlHinw_puRnPg2_skvTxX_yPeUyTpl3X6XS6Y5dDz4Vuv_nkr2tn15Xz83uZbNdPe6aIDXUhoQ1PYIlBCMHhdRiG5zzBnrhg3G2JTQSeyJEF6QAdNKAxhgDShl7tWQPf91ANKXDcTrP-ed3EFajMeobDlpDlQ</addsrcrecordid><sourcetype>Publisher</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>Investment Strategies in the Funded Pillar of the Slovak Pension System</title><source>ABI/INFORM global</source><creator>Melicherčík, Igor ; Szucs , Gabor ; Zetek, Pavel</creator><creatorcontrib>Melicherčík, Igor ; Szucs , Gabor ; Zetek, Pavel</creatorcontrib><description>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 in-vested 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.</description><identifier>ISSN: 0013-3035</identifier><language>eng</language><publisher>Ekonomický ústav SAV a Prognostický ústav SAV</publisher><subject>Economy</subject><ispartof>Ekonomický časopis, 2015, Vol.63 (2), p.133-151</ispartof><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Uhttps://www.ceeol.com//api/image/getissuecoverimage?id=picture_2015_12056.jpg</thumbnail><link.rule.ids>314,780,784,4024</link.rule.ids></links><search><creatorcontrib>Melicherčík, Igor</creatorcontrib><creatorcontrib>Szucs , Gabor</creatorcontrib><creatorcontrib>Zetek, Pavel</creatorcontrib><title>Investment Strategies in the Funded Pillar of the Slovak Pension System</title><title>Ekonomický časopis</title><addtitle>Journal of Economics</addtitle><description>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 in-vested 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.</description><subject>Economy</subject><issn>0013-3035</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2015</creationdate><recordtype>article</recordtype><recordid>eNotjctKAzEUQLNQsFb_wEV-YODmPXcpxdZCwcLoumSSOzo1zcAkLfj3iro6cBbnXLEFgFCNAmVu2G0pRwANVrcLttnmC5V6olx5V2df6X2kwsfM6wfx9TlHinw_puRnPg2_skvTxX_yPeUyTpl3X6XS6Y5dDz4Vuv_nkr2tn15Xz83uZbNdPe6aIDXUhoQ1PYIlBCMHhdRiG5zzBnrhg3G2JTQSeyJEF6QAdNKAxhgDShl7tWQPf91ANKXDcTrP-ed3EFajMeobDlpDlQ</recordid><startdate>2015</startdate><enddate>2015</enddate><creator>Melicherčík, Igor</creator><creator>Szucs , Gabor</creator><creator>Zetek, Pavel</creator><general>Ekonomický ústav SAV a Prognostický ústav SAV</general><general>Institute of Economic Research of the SAS and Institute for Forecasting SAS (co-publisher)</general><scope>AE2</scope><scope>BIXPP</scope><scope>REL</scope></search><sort><creationdate>2015</creationdate><title>Investment Strategies in the Funded Pillar of the Slovak Pension System</title><author>Melicherčík, Igor ; Szucs , Gabor ; Zetek, Pavel</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c240t-e165b906e9052f39e898c77a50b1ac5768e9529bee997c2109725049ddc922db3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2015</creationdate><topic>Economy</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Melicherčík, Igor</creatorcontrib><creatorcontrib>Szucs , Gabor</creatorcontrib><creatorcontrib>Zetek, Pavel</creatorcontrib><collection>Central and Eastern European Online Library (C.E.E.O.L.) (DFG Nationallizenzen)</collection><collection>CEEOL: Open Access</collection><collection>CEEOL</collection><jtitle>Ekonomický časopis</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Melicherčík, Igor</au><au>Szucs , Gabor</au><au>Zetek, Pavel</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Investment Strategies in the Funded Pillar of the Slovak Pension System</atitle><jtitle>Ekonomický časopis</jtitle><addtitle>Journal of Economics</addtitle><date>2015</date><risdate>2015</risdate><volume>63</volume><issue>2</issue><spage>133</spage><epage>151</epage><pages>133-151</pages><issn>0013-3035</issn><abstract>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 in-vested 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.</abstract><pub>Ekonomický ústav SAV a Prognostický ústav SAV</pub><tpages>19</tpages><oa>free_for_read</oa></addata></record>
fulltext fulltext
identifier ISSN: 0013-3035
ispartof Ekonomický časopis, 2015, Vol.63 (2), p.133-151
issn 0013-3035
language eng
recordid cdi_ceeol_journals_164955
source ABI/INFORM global
subjects Economy
title Investment Strategies in the Funded Pillar of the Slovak Pension System
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-29T06%3A37%3A53IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-ceeol&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Investment%20Strategies%20in%20the%20Funded%20Pillar%20of%20the%20Slovak%20Pension%20System&rft.jtitle=Ekonomick%C3%BD%20%C4%8Dasopis&rft.au=Melicher%C4%8D%C3%ADk,%20Igor&rft.date=2015&rft.volume=63&rft.issue=2&rft.spage=133&rft.epage=151&rft.pages=133-151&rft.issn=0013-3035&rft_id=info:doi/&rft_dat=%3Cceeol%3E164955%3C/ceeol%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c240t-e165b906e9052f39e898c77a50b1ac5768e9529bee997c2109725049ddc922db3%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_id=info:pmid/&rft_ceeol_id=164955&rfr_iscdi=true