# Constant proportion portfolio insurance in defined contribution pension plan management

Analytical Models for Financial Modeling and Risk Management

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## 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## JEL Classification

G11 G22## References

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