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In search of the optimal saving strategy for pan-European pension products
Title In search of the optimal saving strategy for pan-European pension products Author info Ján Šebo, Daniela Danková, Ivan Králik Author Šebo Ján 1978- (34%) UMBEF15 - Katedra verejnej ekonomiky a regionálneho rozvoja
Co-authors Danková Daniela 1994- (33%) UMBEF15 - Katedra verejnej ekonomiky a regionálneho rozvoja
Králik Ivan 1992- (33%) UMBEF15 - Katedra verejnej ekonomiky a regionálneho rozvoja
Source document Financial Assets and Investing. Vol. 11, no. 2 (2020), pp. 54-72. - Brno : Masarykova univerzita v Brně, 2020 Keywords celoeurópske osobné dôchodkové produkty - Pan-European personal pension products performance Form. Descr. články - journal articles Language English Country Czech Republic Annotation The introduction of pan-European pension products in 2020 is associated with an ongoing debate on prescribing predefined saving strategy that would both deliver adequate performance and limit the down-side risk at the end of the saving horizon. Dynamic life-cycle saving strategies are generally accepted as a good riskmitigation tool that can be individually set. Many research papers confirm the ability of life-cycle strategies to deliver high risk-reward outcomes. Objective of our paper is to test the ability of one-factor life-cycle saving strategies based on the age and/or the remaining saving horizon to deliver the promised value for PEPP savers. We constructed 18 saving strategies divided into three groups – static saving strategies with fixed proportion of equities, dynamic life-cycle strategies based on the age and/or remaining saving horizon, and quasi-active strategies combining two factors – the remaining saving horizon and price movement. We employed the model based on moving-block bootstrapping technique and performed simulations for various economic conditions. We have tested the expected saving performance combined with the down-side risk during the saving horizon. Our findings do not confirm the general findings on life-cycle saving strategies. We claim that having the age as the only factor defining the proportion of equities in the pension saving portfolio would not be optimal. However, we found that two-factor saving strategies look promising in delivering both lower down-side risk and higher performance over the saving horizon. URL Link na plný text Link na zdrojový dokument Public work category ADE No. of Archival Copy 49120 Catal.org. BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici Database xpca - PUBLIKAČNÁ ČINNOSŤ References (1) - PUBLIKAČNÁ ČINNOSŤ 
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