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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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Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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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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BibTeX
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.