Constant proportion portfolio insurance in defined contribution pension plan management

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 and Financial Mathematics
A. Sevtap Selcuk-Kestel: Middle East Technical University

Annals of Operations Research, 2018, vol. 266, issue 1, No 14, 329-348

Abstract: Abstract 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.

Keywords: Optimal portfolio; CPPI; Portfolio insurance; Defined contribution pension plans (search for similar items in EconPapers)
JEL-codes: G11 G22 (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/s10479-017-2449-8 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:266:y:2018:i:1:d:10.1007_s10479-017-2449-8

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

DOI: 10.1007/s10479-017-2449-8

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 ().