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Constant proportion portfolio insurance in defined contribution pension plan management

Busra Zeynep Temocin (), Ralf Korn () and A. Sevtap Selcuk-Kestel ()
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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, 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
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