The article speaks about the issues of necessity of development of the domestic stock market for ensuring investment of pension assets of the mandatory state defined contribution pension insurance. It characterises risks that could arise during introduction of the second level and identifies...

В статье освещаются вопросы функционирования основных финансовых институтов, которые будут формировать институциональную структуру второго уровня,...

The article discusses issues of functioning of main financial institutions, which would form the institutional structure of the second level, regulation of their activity in accordance with the new Ukrainian pension legislation, specific features of their financial relations with participants of...

We consider the portfolio selection problem in the accumulation phase of a defined contribution (DC) pension scheme. We solve the mean-variance portfolio selection problem using the embedding technique pioneered by Zhou and Li (2000) and show that it is equivalent to a target-based optimization...

We solve a mean-variance optimisation problem of a defined contribution pension scheme in the accumulation phase. The financial market consists of: (i) the risk-free asset, (ii) a risky asset following a GBM, and (iii) a bond driven by a stochastic interest rate following the Vasicek [1977]...

In this article we formulate and solve the optimal design problem of a defined contribution public pension fund, in a highly stylized but still rather general non-stationary framework. We adopt the viewpoint of a benevolent social planner who aims at treating in a fair manner the successive...

We consider the position of a member of a defined contribution (DC) pension scheme having the possibility of taking programmed withdrawals at retirement. According to this option, she can defer annuitization of her fund to a propitious future time, that can be found to be optimal according to...

We consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility maximization approaches. Using the embedding technique pioneered by Zhou and Li (2000) we first find the...

We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is...