Page 342 - Contributed Paper Session (CPS) - Volume 7

CPS2120 Grażyna Trzpiot et al.
Scenario #3: Portfolio return rate 60/40:
2
RpGERMANY = 0.51F2 R = 0.3
The interpretation of this equation for Germany is as follows: if risk
represented by F2 increase by 1, then Rp will increase by 0.51%.
RpSPAIN = − 0.21F1 + 0.063F2 + 0.95F3 R = 0.94
2
The interpretation for this result is as follows: if risk represented by F1 increase
by 1, then Rp will decrease by 0.21% , if risk represented by F2 increase by 1,
then Rp will increase by 0.063%, if risk represented by F3 increase by 1, then
Rp will increase by 0.95%.
2
RpPOLAND = − 0.76F1 + 0.56F2 − 0.18F3 R = 0.93
The interpretation for this result is as follows: if risk represented by F1 increase
by 1, then Rp will decrease by 0.76%, if risk represented by F2 increase by 1,
then Rp will increase by 0.56%, if risk represented by F3 increase by 1, then Rp
will decrease by 0.18%.

4. Discussion and Conclusion
There is statistically significant effect extracted by PCA risk factors on
investment returns. In Germany we can point out three factors: wealth risk,
systematic longevity risk and financial market risk that impact statistically
significant effect on each portfolio returns – czy to jest potrzebne bo w każdym
zdaniu tak jest, I nie widać różnic między krajami. In Spain we have three
different factors: long-term standard of living risk, local economy risk, financial
market risk which impact statistically significant effect on each portfolio
returns. At the end, for Poland we receive: demo-economic risk, financial
market risk, individual wealth risk which have statistically significant effect on
each portfolio returns. Calibrated models are acceptable, statistically
significant so we can use these models for prediction return of portfolio. The
best quality of estimated models we obtain for Spain and Poland, the worst
for Germany.
The effect of large long-term investors on both their investments and on
the markets generally has prompted
a key debate in academic literature.
Presented results, we hope are in this important flow in age of aging.

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