Geodesic
Investment strategies in defined-contribution pension schemes
Igor Melicherčík1 ; Gábor Szűcs2 ; Igor Vilček3 ; Igor Melicherčík ; Gábor Szűcs ; Igor Vilček
1Comenius University of Bratislava
2Department of Applied Mathematics and Statistics Faculty of Mathematics, Physics and Informatics Comenius University 842 48 Bratislava, Slovakia
3Tatra Asset Management, Hodzovo namestie 3, 810 00 Bratislava
Acta mathematica Universitatis Comenianae, Tome 84 (2015) no. 2, pp. 191-204 
Igor Melicherčík; Gábor Szűcs; Igor Vilček; Igor Melicherčík; Gábor Szűcs; Igor Vilček. Investment strategies in defined-contribution pension schemes. Acta mathematica Universitatis Comenianae, Tome 84 (2015) no. 2, pp. 191-204. http://geodesic.mathdoc.fr/item/AMUC_2015_84_2_a1/
@article{AMUC_2015_84_2_a1,
     author = {Igor Melicher\v{c}{\'\i}k and G\'abor Sz\'{u}cs and Igor Vil\v{c}ek and Igor Melicher\v{c}{\'\i}k and G\'abor Sz\'{u}cs and Igor Vil\v{c}ek},
     title = { Investment strategies in defined-contribution pension schemes},
     journal = {Acta mathematica Universitatis Comenianae},
     pages = {191--204},
     year = {2015},
     volume = {84},
     number = {2},
     url = {http://geodesic.mathdoc.fr/item/AMUC_2015_84_2_a1/}
}
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Voir la notice de l'article provenant de la source Comenius University

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.