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Stochastic dominance analysis of Slovak 2nd pillar pension funds
Title Stochastic dominance analysis of Slovak 2nd pillar pension funds Author info Miloš Kopa, Kristina Šutiené ... [et al.] Author Kopa Miloš (25%)
Co-authors Šutiené Kristina (25%)
Kabasinskas Audrius (25%)
Mešťan Michal 1991- (25%) UMBEF04 - Katedra financií a účtovníctva
Source document Financial management of firms and financial institutions : 12th international scientific conference, 3rd September 2019, Ostrava, Czech Republic : proceedings. S. 112-121. - Ostrava : Vysoká škola báňská - Technická univerzita Ostrava, 2019 / Borovcová Martina ; Čulík Miroslav ; Dluhošová Dana ; Dvoroková Kateřina ; Fasora Ondřej ; Financial management of firms and financial institutions international scientific conference Keywords pension funds stochastic analysis pension pillar Headings Geogr. Slovensko Form. Descr. príspevky v zborníku - proceedings papers Language English Country Czech Republic Annotation The paper analyses the returns of Slovak 2nd pillar pension funds using several approaches. The main goal of the paper is to compare these funds among each other and to find the most attractive ones. Since the fund returns are random, we are working with the probability distributions of the returns estimated from the data parametrically (assuming a stable distribution) and nonparametrically (assuming an empirical distribution). Moreover, we consider several ways of comparisons (descriptive statistics, performance ratios and stochastic dominance relations) focusing mainly on the stochastic dominance analysis. We employ stochastic dominance rules of the first order, second order, third order as usually. Moreover, we consider the most attractive stochastic dominance relation generated by utility functions with decreasing absolute risk aversion – DARA stochastic dominance, Finally, we compare the results of all these approaches. URL https://www.ekf.vsb.cz/export/sites/ekf/frpfi/en/conference-proceedings/Sbornik-final.pdf Public work category AFC No. of Archival Copy 46430 Repercussion category ŠEBO, Ján - DANKOVÁ, Daniela - KRÁLIK, Ivan. In search of the optimal saving strategy for pan-European pension products. In Financial assets and investing. Brno : Masarykova univerzita v Brně, 2020. ISSN 1804-5081, 2020, vol. 11, no. 2, pp. 54-72.
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