Dominance-Based Decision Rules for Pension Fund Selection under Different Distributional Assumptions

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F20%3A10419090" target="_blank" >RIV/00216208:11320/20:10419090 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=1O-dyh1t7S" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=1O-dyh1t7S</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3390/math8050719" target="_blank" >10.3390/math8050719</a>

Result language
angličtina
Original language name
Dominance-Based Decision Rules for Pension Fund Selection under Different Distributional Assumptions
Original language description
The pension landscape is changing due to the market situation, and technological change has enabled financial innovations. Pension savers usually seek financial advice to make a personalised decision in selecting the right pension fund for them. As such, decision rules based on the assumed risk profile of the decision maker could be generated by making use of stochastic dominance (SD). In the paper, the second-pillar pension funds operating in Lithuania and Slovakia are analysed according to SD rules. The importance of the distributional assumption is explored while comparing the results of empirical, student-t, Hyperbolic and Normal Inverse Gaussian distributions to generate SD-based rules that could be integrated into an advisory solution. Moreover, due to the differences in SD results under different distributional assumptions, a new SD ratio is proposed that condenses the dominance-based relations for all considered dominance orders and probability distributions. The empirical results indicate that this new SD ratio efficiently characterises not only the preference of each fund individually but also of a group of funds with the same attributes, thus enabling multi-risk and multi-country comparisons.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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