Middle East Technical University General Seminars

Constant Proportion Portfolio Insurance in Defined Contribution Pension Plan Management
Büşra Temoçin
METU, Institute of Applied Mathematics, Turkey
Özet : Portfolio insurance strategies are designed to protect investors against adverse market movements by providing an initially specified guarantee during the investment period. This kind of a protection mechanism is especially important for systems with long investment horizons such as pension plans. In this talk, I consider various versions of the Constant Proportion Portfolio Insurance (CPPI) method under both continuous- and discrete-time trading for a defined contribution pension plan that includes regular contributions of random size dependent on a stochastic income process. Different floor processes for the CPPI are compared with regard gap-risk and cash-lock probability via computing respective risk measures.
  Tarih : 02.05.2019
  Saat : 15:40
  Yer : Gündüz İkeda Seminar Room
  Dil : English
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