Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading

KORN, Ralf
Kestel, Sevtap Ayşe
Portfolio insurance strategies are designed to protect investors against adverse market movements by providing an initially specified guarantee during the investment period. This kind of a protection mechanism is especially important for systems with long investment horizons such as pension plans. In this paper, we consider various versions of the Constant Proportion Portfolio Insurance (CPPI) method under discrete-time trading for a defined-contribution pension plan that includes regular contributions of random size dependent on a stochastic income process. We compare different floor processes for the CPPI with regard to gap-risk and cash-lock probability by computing respective risk measures.


Constant proportion portfolio insurance in defined contribution pension plan management
TEMOÇİN, BÜŞRA ZEYNEP; Korn, Ralf; Kestel, Sevtap Ayşe (2018-07-01)
We consider the optimal portfolio problem with minimum guarantee protection in a defined contribution pension scheme. We compare various versions of guarantee concepts in a labor income coupled CPPI-framework with random future labor income. Besides classical deterministic guarantees we also introduce path-dependent guarantees. To ensure that there is no bias in the comparison, we obtain the optimal CPPI-multiplier for each guarantee framework via using a classical stochastic control approach.
Constant proportion portfolio insurance in defined-contribution pension plan management
Temoçin, Büşra Zeynep; Kestel, Sevtap Ayşe; Korn, Ralf; Department of Financial Mathematics (2015)
In this thesis, various portfolio insurance strategies are designed and proposed for portfolio management of defined-contribution type pension plans. These type of plans consist of consecutive and defined premium payments which are invested in financial markets and lead to a benefit that will be collected at the retirement. Since the beneficiary faces all of the financial risk throughout the plan, a capital protection mechanism is needed in such retirement systems. The main contribution of the present resea...
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Citation Formats
B. Z. TEMOÇİN, R. KORN, and S. A. Kestel, “Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading,” ANNALS OF OPERATIONS RESEARCH, pp. 515–544, 2018, Accessed: 00, 2020. [Online]. Available: