Constant proportion portfolio insurance in defined contribution pension plan management

被引：0
|
作者：
Busra Zeynep Temocin
Ralf Korn
A. Sevtap Selcuk-Kestel
机构：
[1] Middle East Technical University,Institute of Applied Mathematics
[2] University of Kaiserslautern and Financial Mathematics,Department of Mathematics
来源：
Annals of Operations Research | 2018年 / 266卷
关键词：
Optimal portfolio; CPPI; Portfolio insurance; Defined contribution pension plans; G11; G22;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
引用
收藏
页码：329 / 348
页数：19
相关论文
共 50 条
  • [1] Constant proportion portfolio insurance in defined contribution pension plan management
    Temocin, Busra Zeynep
    Korn, Ralf
    Selcuk-Kestel, A. Sevtap
    [J]. ANNALS OF OPERATIONS RESEARCH, 2018, 266 (1-2) : 329 - 348
  • [2] Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading
    Temocin, Busra Zeynep
    Korn, Ralf
    Selcuk-Kestel, A. Sevtap
    [J]. ANNALS OF OPERATIONS RESEARCH, 2018, 260 (1-2) : 515 - 544
  • [3] Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading
    Busra Zeynep Temocin
    Ralf Korn
    A. Sevtap Selcuk-Kestel
    [J]. Annals of Operations Research, 2018, 260 : 515 - 544
  • [4] THE MANAGEMENT OF DECUMULATION RISKS IN A DEFINED CONTRIBUTION PENSION PLAN
    Gerrard, Russell
    Haberman, Steven
    Vigna, Elena
    [J]. NORTH AMERICAN ACTUARIAL JOURNAL, 2006, 10 (01) : 84 - 110
  • [5] PENSION BENEFIT INSURANCE AND PENSION PLAN PORTFOLIO CHOICE
    Crossley, Thomas
    Jametti, Mario
    [J]. REVIEW OF ECONOMICS AND STATISTICS, 2013, 95 (01) : 337 - 341
  • [6] Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
    Sun, Xiaoqian
    Yong, Xuelin
    Gao, Jianwei
    [J]. FRONTIERS OF MATHEMATICS IN CHINA, 2020, 15 (05) : 1001 - 1009
  • [7] Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
    Xiaoqian Sun
    Xuelin Yong
    Jianwei Gao
    [J]. Frontiers of Mathematics in China, 2020, 15 : 1001 - 1009
  • [8] THEORY OF CONSTANT PROPORTION PORTFOLIO INSURANCE
    BLACK, F
    PEROLD, AF
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1992, 16 (3-4): : 403 - 426
  • [9] Portfolio optimization and intergenerational risk sharing for a collective defined contribution pension plan
    Wang, Suxin
    Wang, Peiqi
    Zhang, Shuhua
    [J]. IMA JOURNAL OF MANAGEMENT MATHEMATICS, 2023, 34 (02) : 383 - 414
  • [10] Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
    Sun, Jingyun
    Li, Yongjun
    Zhang, Ling
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (17) : 4106 - 4130
12345