Constant proportion portfolio insurance in defined contribution pension plan management

Date

2018-07-01

Author

TEMOÇİN, BÜŞRA ZEYNEP
Korn, Ralf
Kestel, Sevtap Ayşe

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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.

Subject Keywords

Optimal portfolio, CPPI, Portfolio insurance, Defined contribution pension plans

URI

https://hdl.handle.net/11511/31006

Journal

ANNALS OF OPERATIONS RESEARCH

DOI

https://doi.org/10.1007/s10479-017-2449-8

Collections

Graduate School of Applied Mathematics, Article

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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,” ANNALS OF OPERATIONS RESEARCH, pp. 329–348, 2018, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/31006.