volatility estimation

Introduction. To stably receive a high enough retirement in the future, the individual should early start to make pension savings and efficiently and deliberately be engaged in pension schemes not only to return but also to increase his/her savings. For this, pension savings schemes should be analyzed from the viewpoint of personal preferences and effective interest rates, and the risks of possible losses due to the activity of pension funds should be taken into account. The aim of this work is to develop recommendations for the individual to play an active role in the management of his/her pension savings and offer a mathematically-based model for making decisions on the structure of savings. To achieve this object, a version of pension savings is considered on the basis of preliminary analysis of pension funds’ performance indicators and making decisions on entering pension schemes by comparison of the investment risk (due to instable financial indicators) and the effective interest rate of the pension scheme selected. Methods. A number of new mathematical models of pension schemes and a new method of pension savings optimization on the basis of the uniform distribution of the risk of investment are proposed. Results. A model example of pension savings is provided with the account of the equitable distribution of the investment risk in three funds. Conclusion. To reduce risks, the participant himself can manage his/ her savings portfolio, entering several pension funds simultaneously and taking into account his/her assessments of profitability and risks. For this, it is desirable to develop an investment risk estimation system. It is advisable to take an appropriate effective interest rate as the profitableness of a pension scheme. The work presents a mathematical model for the management structure of pension savings and demonstrates its application. The obtained solution on the structure of savings can remain unchanged for a number of years, and may vary by reviewing main parameters and indicators of the risk of pension schemes.