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Stochastic dominance analysis of Slovak 2nd pillar pension funds
Názov Stochastic dominance analysis of Slovak 2nd pillar pension funds Aut.údaje Miloš Kopa, Kristina Šutiené ... [et al.] Autor Kopa Miloš (25%)
Spoluautori Šutiené Kristina (25%)
Kabasinskas Audrius (25%)
Mešťan Michal 1991- (25%) UMBEF04 - Katedra financií a účtovníctva
Zdroj.dok. 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 Kľúč.slová pension funds stochastic analysis pension pillar Heslá geogr. Slovensko Form.deskr. príspevky v zborníku - proceedings papers Jazyk dok. angličtina Krajina Česká republika Anotácia 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 Kategória publikačnej činnosti AFC Číslo archívnej kópie 46430 Kategória ohlasu 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.
Katal.org. BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici Báza dát xpca - PUBLIKAČNÁ ČINNOSŤ 
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