Optimal Pension Fund Management Under Risk and Uncertainty: The Case Study of Poland
[ 1 ] Instytut Logistyki, Wydział Inżynierii Zarządzania, Politechnika Poznańska | [ 2 ] Politechnika Poznańska | [ 3 ] Instytut Inżynierii Bezpieczeństwa i Jakości, Wydział Inżynierii Zarządzania, Politechnika Poznańska | [ P ] pracownik | [ DW ] doktorant wdrożeniowy
[2.9] Inżynieria mechaniczna[6.6] Nauki o zarządzaniu i jakości
2021
rozdział w monografii naukowej
angielski
- Optimal portfolio
- Defined contribution
- Pension reform
- Public and occupational pension schemes in Poland
- Stochastic optimal control
- Stochastic games
EN During the last decade, and especially after the financial crisis, the problem of providing supplementary pensions to the retirees has attracted a lot of attention from official bodies, as well as private financial institutions, worldwide. In this effort, there are various possible solutions, one of which is provided by pension fund schemes. Essentially, a pension fund scheme constitutes an independent legal entity that represents accumulated wealth stemming from pooled contributions of its members. The aim of the proposed research is to study the problem of optimal management of defined contribution (DC) pension fund schemes within general, complex and (as much as possible) realistic frameworks. From both a theoretical and practical point of view, one of the most important issue regarding fund management is the construction of optimal investment portfolio, because the success of a DC plan crucially depends on the effective investment of the available funds. Even though this problem has been heavily studied in the relative literature, the vast majority of the available works focuses: (i) on simple stylized models which allow for a very general understanding and are mainly based on intentionally unrealistic assumptions in order to provide closed-form (and paradigmatic) solutions, and (ii) on risk levels (unrealistic) rather than uncertainty (realistic). This chapter presents preliminary results/general ideas of our project and aims to provide a detailed and an (as much as possible) realistic framework that takes into account the exposure of the fund portfolio into several market risks as well as model uncertainty with respect to the evolution of several unknown market parameters that govern the behavior of the fund portfolio. Our research will be directed towards the new public and occupational pension schemes in Poland.
30.09.2021
31 - 64
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