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

Busra Zeynep Temocin (), Ralf Korn () and A. Sevtap Selcuk-Kestel ()
Additional contact information
Busra Zeynep Temocin: Middle East Technical University
Ralf Korn: University of Kaiserslautern
A. Sevtap Selcuk-Kestel: Middle East Technical University

Annals of Operations Research, 2018, vol. 260, issue 1, No 24, 515-544

Abstract: Abstract 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.

Keywords: Defined-contribution pension plan; Portfolio insurance; CPPI; Discrete-time trading; Gap risk; Cash-lock risk (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://link.springer.com/10.1007/s10479-017-2638-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-017-2638-5

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-017-2638-5

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().