Constant proportion portfolio insurance in defined contribution pension plan management

  • Busra Zeynep Temocin
  • Ralf Korn
  • A. Sevtap Selcuk-Kestel
Analytical Models for Financial Modeling and Risk Management
  • 57 Downloads

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 

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Copyright information

© Springer Science+Business Media New York 2017

Authors and Affiliations

  1. 1.Institute of Applied MathematicsMiddle East Technical UniversityAnkaraTurkey
  2. 2.Department of MathematicsUniversity of Kaiserslautern and Financial MathematicsKaiserslauternGermany

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