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

被引：4

作者：

Temocin, Busra Zeynep ^{[1
]}

Korn, Ralf ^{[2
,3
]}

Selcuk-Kestel, A. Sevtap ^{[1
]}

机构：

[1] Middle East Tech Univ, Inst Appl Math, Ankara, Turkey

[2] Univ Kaiserslautern, Dept Math, Kaiserslautern, Germany

[3] Fraunhofer ITWM, Dept Financial Math, Kaiserslautern, Germany

来源：

ANNALS OF OPERATIONS RESEARCH | 2018年 / 260卷 / 1-2期

关键词：

Defined-contribution pension plan; Portfolio insurance; CPPI; Discrete-time trading; Gap risk; Cash-lock risk; STRATEGIES;

D O I：

10.1007/s10479-017-2638-5

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：515 / 544

页数：30

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