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  4. Constant proportion portfolio insurance in defined contribution pension plan management
 
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2018
Journal Article
Title

Constant proportion portfolio insurance in defined contribution pension plan management

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.
Author(s)
Temocin, B.Z.
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM  
Korn, R.
TU Kaiserslautern
Selcuk-Kestel, A.S.
Journal
Annals of operations research  
Open Access
DOI
10.1007/s10479-017-2449-8
Additional full text version
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Language
English
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM  
Keyword(s)
  • optimal portfolio

  • CPPI

  • portfolio insurance

  • defined contribution pension plan

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