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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Mathematics [online]

ISSN

2227-7390

e-ISSN

—

Svazek periodika

8

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

CH - Švýcarská konfederace

Počet stran výsledku

26

Strana od-do

719

Kód UT WoS článku

000542738100012

EID výsledku v databázi Scopus

2-s2.0-85085648288