MAKING A PORTFOLIO OF THE PARTICIPATION FUNDS IN SUPPLEMENTARY PENSION SAVINGS VIA FUZZY MEAN ABSOLUTE SEMI-DEVIATION MODEL

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

MAKING A PORTFOLIO OF THE PARTICIPATION FUNDS IN SUPPLEMENTARY PENSION SAVINGS VIA FUZZY MEAN ABSOLUTE SEMI-DEVIATION MODEL

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

MAKING A PORTFOLIO OF THE PARTICIPATION FUNDS IN SUPPLEMENTARY PENSION SAVINGS VIA FUZZY MEAN ABSOLUTE SEMI-DEVIATION MODEL

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 13th International Scientific Conference INPROFORUM

ISBN

978-80-7394-776-7

ISSN

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e-ISSN

2336-6788

Počet stran výsledku

9

Strana od-do

242-250

Název nakladatele

Jihočeská univerzita v Českých Budějovicích

Místo vydání

České Budějovice

Místo konání akce

České Budějivice

Datum konání akce

7. 11. 2019

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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