Constant proportion portfolio insurance in defined contribution pension plan management
type: Item
instance of: scholarly article
title: Constant proportion portfolio insurance in defined contribution pension plan management
zbMATH Open document ID: 1417.91286
author: Busra Zeynep Temocin
author: Ralf Korn
author: A. Sevtap Selcuk-Kestel
published in: Annals of Operations Research
publication date: 2018-11-12T00:00:00Z
full work available at URL: index.pdf
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6976245
zbMATH Keywords: optimal portfolio
zbMATH Keywords: CPPI
zbMATH Keywords: portfolio insurance
zbMATH Keywords: defined contribution pension plans
MaRDI profile type: Publication
OpenAlex ID: W2593724230
cites work: Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
cites work: Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
cites work: Q4522707
cites work: A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
cites work: Pricing and hedging gap risk
DOI: 10.1007/S10479-017-2449-8
description: scientific article; zbMATH DE number 6976245