Constant proportion portfolio insurance in defined contribution pension plan management
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DOI: 10.1007/s10479-017-2449-8
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References listed on IDEAS
- Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006.
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Cited by:
- Magnani, Marco, 2024. "An analysis of precautionary behavior in retirement decision making with an application to pension system reform," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 99-113.
- Peyman Alipour & Ali Foroush Bastani, 2023. "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers 2305.12539, arXiv.org.
- Guohui Guan & Zongxia Liang & Yi Xia, 2023. "Optimal management of DB pension fund under both underfunded and overfunded cases," Papers 2302.08731, arXiv.org.
- An Chen & Thai Nguyen & Manuel Rach, 2021. "A collective investment problem in a stochastic volatility environment: The impact of sharing rules," Annals of Operations Research, Springer, vol. 302(1), pages 85-109, July.
- Katia Colaneri & Daniele Mancinelli & Immacolata Oliva, 2024. "On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework," Papers 2407.21148, arXiv.org.
- Li, Zhuyue & Zhao, Peixin & Han, Xue, 2022. "Agri-food supply chain network disruption propagation and recovery based on cascading failure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
- Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
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More about this item
Keywords
Optimal portfolio; CPPI; Portfolio insurance; Defined contribution pension plans;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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