Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading
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Publication:1703574
DOI10.1007/s10479-017-2638-5zbMath1404.91147OpenAlexW2758856450MaRDI QIDQ1703574
A. Sevtap Selcuk-Kestel, Ralf Korn, 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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Related Items (2)
Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading ⋮ PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND
Cites Work
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Optimal investment strategies in the presence of a minimum guarantee.
- Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading
- Effectiveness of CPPI strategies under discrete-time trading
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
- Pricing and hedging gap risk
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
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