tailieunhanh - Dynamic stochastic accumulation model with application to pension savings management

We propose a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. Stock prices are assumed to be driven by the geometric Brownian motion. Interest rates are modeled by means of the Cox-Ingersoll-Ross model. The optimal decision as a solution to the corresponding dynamic stochastic program is a function of the duration of saving, the level of savings and the short rate. | Yugoslav Journal of Operations Research Volume 20 (2010), Number 1, 1-24 DOI: DYNAMIC STOCHASTIC ACCUMULATION MODEL WITH APPLICATION TO PENSION SAVINGS MANAGEMENT Igor MELICHERČIK, Daniel ŠEVČOVIČ1 Department of Applied Mathematics and Statistics Faculty of Mathematics, Physics and Informatics Comenius University, Bratislava, Slovakia {, }@ Received: March 2009 / Accepted: May 2010 Abstract: We propose a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. Stock prices are assumed to be driven by the geometric Brownian motion. Interest rates are modeled by means of the Cox-Ingersoll-Ross model. The optimal decision as a solution to the corresponding dynamic stochastic program is a function of the duration of saving, the level of savings and the short rate. Qualitative and quantitative properties of the optimal solution are analyzed. The model is tested on the funded pillar of the Slovak pension system. The results are calculated for various risk preferences of a saver. Keywords: Dynamic stochastic programming, funded pillar, utility function, Bellman equation, Slovak pension system, risk aversion, pension portfolio simulations. JEL classification: C15, E27, G19, G11, G23 1. INTRODUCTION Pension systems around the world are currently undergoing a shift from unfunded social security towards defined-contribution (DC) funded systems. The main reason of this development is the ongoing demographic change. Increasingly, therefore, capital market based private pension plans supplement the pay-as-you-go (PAYG) systems which are predominant in continental Europe. However, one should not 1 This work has been supported by VEGA 1/0381/09 and ERDF-017/2009/ projects. 2 I., Melicherčík and D., Ševčovič / Dynamic Stochastic Accumulation Model dogmatically presume that funded systems are more efficient .

• Bảo hiểm
• Dynamic stochastic programming
• Funded pillar
• Utility function
• Bellman equation
• Slovak pension system
• Risk aversion
• Pension portfolio simulations
• Dynamic programming for parsing
• estimation of stochastic
• unification based grammars
• báo cáo khoa học
• mô hình ngôn ngữ
• xử lý ngôn ngữ tự nhiên
• Engineering optimization theory
• Nonlinear programming
• Constrained optimization techniques
• Geometric programming
• Dynamic programming
• Stochastic programming
• Controllability
• bang bang principle
• Game theory
• stochastic control
• Pontryagin Maximum
• the Hoabinh reservoir
• Modelling the Hoabi
• Stochastic Dynamic Programming
• Policy Search
• Historical operation