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INVESTMENT STRATEGIES IN THE FUNDED PILLAR OF THE SLOVAK PENSION SYSTEM

100%
Melicherčík I., Szűcs G., Vilček I.
Ekonomický časopis (Journal of Economics)
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2015
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vol. 63
|
issue 2
133 – 151
EN
We present a dynamic model for optimal investment decisions in privately managed defined contribution (DC) pension plans. Stock prices are assumed to be driven by the geometric Brownian motion. Interest rates are modelled by means of the Cox-Ingersoll-Ross model (CIR). The model determines an optimal fraction of pensioner’s savings (in time) to be invested in an equity fund, with the rest invested in a bond fund. Next, we present sensitivity analysis with respect to various relevant parameters. We also perform stress-testing of optimal investment decisions under different equity return scenarios. The entire analysis is carried out on the actual Slovak DC scheme and all model parameters are calibrated by the latest available data.
2

SENSITIVITY ANALYSIS FOR A DYNAMIC STOCHASTIC ACCUMULATION MODEL FOR OPTIMAL PENSION SAVINGS MANAGEMENT

72%
Jakubik T., Melicherčík I., Ševčovič D.
Ekonomický časopis (Journal of Economics)
|
2009
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vol. 57
|
issue 8
756 - 771
EN
Since January 2005, pensions in Slovakia are operated by a three-pillar system. This paper concentrates on the mandatory, fully funded second pillar. In their analysis authors follow the dynamic stochastic accumulation model proposed by the authors in (Kilianova et al., 2006). Recently pension asset managers tend to be very cautious and they hold low stock to bond proportions in the pension funds. The authors discuss the sensitivity of the level of savings with respect to the proportion of stocks in the portfolios. Furthermore, they perform the sensitivity analysis with respect to correlation between stock and bond returns and risk aversion. Finally, authors prove linearity of the level of savings with respect to the contribution rate.
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