Published January 1, 2018 | Version v1
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Constant proportion portfolio insurance in defined contribution pension plan management

  • 1. Middle East Tech Univ, Inst Appl Math, Ankara, Turkey

Description

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.

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