Investment strategies in defined-contribution pension schemes

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Igor Melicherčík Gábor Szűcs Igor Vilček

Abstract

We present a dynamic model for optimal investment decisions in deffined contribution pension plans. The model determines an optimal fraction of pensioner's savings to be invested in an equity fund, with the rest invested in a bond fund. Since it is difficult to estimate the model parameters exactly, we present sensitivity analysis with respect to various relevant parameters and stress-testing of optimal investment decisions under different equity return scenarios. The model is applied on the actual Slovak DC scheme.

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How to Cite
Melicherčík, I., Szűcs, G., & Vilček, I. (2015). Investment strategies in defined-contribution pension schemes. Acta Mathematica Universitatis Comenianae, 84(2), 191-204. Retrieved from http://www.iam.fmph.uniba.sk/amuc/ojs/index.php/amuc/article/view/139/186
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