An Optimal Turkish Private Pension Plan with a Guarantee Feature
AbstractThe 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. View Full-Text
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İşcanog̃lu-Çekiç, A. An Optimal Turkish Private Pension Plan with a Guarantee Feature. Risks 2016, 4, 19.
İşcanog̃lu-Çekiç A. An Optimal Turkish Private Pension Plan with a Guarantee Feature. Risks. 2016; 4(3):19.Chicago/Turabian Style
İşcanog̃lu-Çekiç, Ayşegül. 2016. "An Optimal Turkish Private Pension Plan with a Guarantee Feature." Risks 4, no. 3: 19.
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