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Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading
Date
2018-01-01
Author
TEMOÇİN, BÜŞRA ZEYNEP
KORN, Ralf
Kestel, Sevtap Ayşe
Metadata
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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.
Subject Keywords
Defined-contribution pension plan
,
Portfolio insurance
,
CPPI
,
Discrete-time trading
,
Gap risk
,
Cash-lock risk
URI
https://hdl.handle.net/11511/30282
Journal
ANNALS OF OPERATIONS RESEARCH
DOI
https://doi.org/10.1007/s10479-017-2638-5
Collections
Graduate School of Applied Mathematics, Article
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TEMOÇİN, BÜŞRA ZEYNEP; Korn, Ralf; Kestel, Sevtap Ayşe (2018-07-01)
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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: https://hdl.handle.net/11511/30282.