An Optimal Turkish Private Pension Plan with a Guarantee Feature
Küçük Resim Yok
Tarih
2016
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Mdpi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The Turkish Private Pension System is an investment system which aims to generate income for future consumption. This is a volunteer system, and the contributions are held in individual portfolios. Therefore, management of the funds is an important issue for both the participants and the insurance company. In this study, we propose an optimal private pension plan with a guarantee feature that is based on Constant Proportion Portfolio Insurance (CPPI). We derive a closed form formula for the optimal strategy with the help of dynamic programming. Moreover, our model is evaluated with numerical examples, and we compare its performance by implementing a sensitivity analysis.
Açıklama
Anahtar Kelimeler
Private Pension Plans, Guaranteed Products, CPPI, HJB-Equation, Dynamic Asset Allocation, Labor-Income, Portfolio, Risks, Retirement, Management
Kaynak
Risks
WoS Q Değeri
N/A
Scopus Q Değeri
Q2
Cilt
4
Sayı
3
