Private pension decision support system

Abstract

This study provides current and prospective private pension system participants with a web-based interactive decision support system that evaluates private pension funds or pension portfolio performance by using risk adjusted performance measurement methods based on daily historical data. Additionally users experiment different investment strategies by varying their portfolio composition. System implements Sharpe ratio, Beta coefficient, Alpha and Jensen Alpha as risk adjusted performance measurement methods. These performance measurement methods are the most used ones in previous academic studies. Software gives the user the flexibility to choose between performance measurement methods and different time intervals. Risk free rate and market index used in performance calculations are also selectable parameters. All the options provided in private pension companies’ official websites are brought in to use as parameters. The system is developed by using three-layer software architecture. Windows Communication Foundation, an enhanced web service and commonly used component in Service Oriented Architecture, is used as a business layer (middle-layer). This study combined the most common performance measurement techniques in literature and the most common functions of private pension companies’ websites as a web-based decision support system.