MAKING A PORTFOLIO OF THE PARTICIPATION FUNDS IN SUPPLEMENTARY PENSION SAVINGS VIA FUZZY MEAN ABSOLUTE SEMI-DEVIATION MODEL
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F20%3A00340146" target="_blank" >RIV/68407700:21340/20:00340146 - isvavai.cz</a>
Result on the web
<a href="http://ocs.ef.jcu.cz/files/site/INPROFORUM_Conference%20Proceedings%202019.pdf" target="_blank" >http://ocs.ef.jcu.cz/files/site/INPROFORUM_Conference%20Proceedings%202019.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
MAKING A PORTFOLIO OF THE PARTICIPATION FUNDS IN SUPPLEMENTARY PENSION SAVINGS VIA FUZZY MEAN ABSOLUTE SEMI-DEVIATION MODEL
Original language description
Saving for a future usage (mainly for pension age) is very common matter for (young) people today. Dependence only on old-age pension can be very limited, especially in times of unstable (losing) pension system in the Czech Republic. One of the most favorite savings products is a supplementary pension savings within which the shares of investment in particular participation funds are configurable according to the client’s preferences. That portfolio making process may not be easy. A suitable supporting tool helping us to make such a decision can be a quantitative approach based on the mathematical programming principle – fuzzy mean absolute semi-deviation model. At first, the original variance (from Markowitz model) is replaced by another risk measure called absolute semi-deviation because a trend in return development of the funds is similar. The covariances reflecting the relations among funds’ returns can be excluded. Minimizing risk function becomes linear. Moreover, such a risk measurement technique does not penalize a positive deviation from a mean. Secondly, a fuzzy form enables to express a typical instability (vagueness) of return via a fuzzy set, or triangular fuzzy number. This model can be applied to make an effective portfolio of participation funds from the perspective of usually two most important characteristics – re-turn and risk. Based on the analysed results of the introduced methodological approach, a suitable portfolio is selected for two most frequent investment (savings) strategies, called conservative and dynamic, on the Czech market.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 13th International Scientific Conference INPROFORUM
ISBN
978-80-7394-776-7
ISSN
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e-ISSN
2336-6788
Number of pages
9
Pages from-to
242-250
Publisher name
Jihočeská univerzita v Českých Budějovicích
Place of publication
České Budějovice
Event location
České Budějivice
Event date
Nov 7, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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