A stochastic dominance approach to pension-fund selection

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

A stochastic dominance approach to pension-fund selection

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

A stochastic dominance approach to pension-fund selection

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GA20-16764S" target="_blank" >GA20-16764S: Zobecněný přístup ke stochastické dominanci: teorie a finanční aplikace</a><br>

Návaznosti

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

Rok uplatnění

2022

Kód důvěrnosti údajů

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

Název periodika

IMA Journal of Management Mathematics

ISSN

1471-678X

e-ISSN

1471-6798

Svazek periodika

33

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

22

Strana od-do

139-160

Kód UT WoS článku

000736089400007

EID výsledku v databázi Scopus

2-s2.0-85118947740