Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading

DOI10.1007/S10479-017-2638-5zbMATH Open1404.91147OpenAlexW2758856450MaRDI QIDQ1703574FDOQ1703574

Authors: Ralf Korn, A. Sevtap Selcuk-Kestel, Busra Zeynep Temocin 

Publication date: 2 March 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2638-5

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zbMATH Keywords

portfolio insurancegap riskCPPIdefined-contribution pension plancash-lock riskdiscrete-time trading

Mathematics Subject Classification ID

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Effectiveness of CPPI strategies under discrete-time trading
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Optimal investment strategies in the presence of a minimum guarantee.
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Pricing and hedging gap risk
• Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading

Cited In (5)

• Constant proportion portfolio insurance in defined contribution pension plan management
• Portfolio management with targeted constant market volatility
• Portfolio insurance strategies for a target annuitization fund
• Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES

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