Constant proportion portfolio insurance in defined contribution pension plan management

Temoçin B. Z., Korn R., Selcuk-Kestel A. S.

ANNALS OF OPERATIONS RESEARCH, vol.266, pp.329-348, 2018 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 266
  • Publication Date: 2018
  • Doi Number: 10.1007/s10479-017-2449-8
  • Journal Name: ANNALS OF OPERATIONS RESEARCH
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.329-348
  • Middle East Technical University Affiliated: Yes

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.