Constant proportion portfolio insurance in defined contribution pension plan management
ANNALS OF OPERATIONS RESEARCH, cilt.266, ss.329-348, 2018 (SCI-Expanded, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 266
- Basım Tarihi: 2018
- Doi Numarası: 10.1007/s10479-017-2449-8
- Dergi Adı: ANNALS OF OPERATIONS RESEARCH
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
- Sayfa Sayıları: ss.329-348
- Orta Doğu Teknik Üniversitesi Adresli: Evet
Özet
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.