A stochastic dominance approach to pension-fund selection

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F22%3A10249850" target="_blank" >RIV/61989100:27510/22:10249850 - isvavai.cz</a>
Result on the web
<a href="https://academic.oup.com/imaman/article-abstract/33/1/139/6175329?redirectedFrom=fulltext&login=true" target="_blank" >https://academic.oup.com/imaman/article-abstract/33/1/139/6175329?redirectedFrom=fulltext&login=true</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1093/imaman/dpab002" target="_blank" >10.1093/imaman/dpab002</a>

Result language
angličtina
Original language name
A stochastic dominance approach to pension-fund selection
Original language description
This paper contributes to the research on multi-pillar pension systems with main focus on private pension funds (PFs). In this context, the specific objective of this study is to determine which second-pillar private fund is the best for participants in such systems on the basis of their risk profile. Based on the assumptions on utility functions of the participants in a pension scheme, four types of stochastic dominance (SD) relations are considered, specifically first order, second order, third order and SD generated by utility functions with decreasing absolute risk aversion. We conduct an analysis under two distributional assumptions: empirical and stable distribution of returns. Moreover, the investors for which non-dominated funds are the optimal choices are identified. Allowing for diversification, the efficiency of the PFs with respect to several types of SD is tested. Then, the observed behaviour of participants in the last quarter/year is compared to the results of SD analysis. Finally, the identified SD relations are stress-tested using data originating from a period of turmoil. Despite the focus on Lithuanian PFs, the methodology developed in this work can be employed by participants or PF managers in similar markets of other countries.
Czech name
—
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
50200 - Economics and Business

Project
<a href="/en/project/GA20-16764S" target="_blank" >GA20-16764S: A generalized approach to stochastic dominance: theory and financial applications</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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