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Open AccessStress testing for IInd pillar life-cycle pension funds using hidden Markov model
This paper presents a stress testing technique based on a hidden Markov regime switching model and scenario generations. Firstly, we assume that investor’s risk preferences and beliefs are primarily observed i...
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Article
A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania
In this paper we consider the problem of choosing the optimal pension fund in the second pillar of Lithuanian pension system by providing some guidelines to individuals with defined contribution pension plans....
