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Constant proportion portfolio insurance in defined contribution pension plan management

: Temocin, B.Z.; Korn, R.; Selcuk-Kestel, A.S.


Annals of operations research 266 (2018), Nr.1-2, S.329-348
ISSN: 0254-5330
ISSN: 1572-9338
Fraunhofer ITWM ()
optimal portfolio; CPPI; portfolio insurance; defined contribution pension plan

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.