Next Article in Journal
Survey on Log-Normally Distributed Market-Technical Trend Data
Previous Article in Journal
Consistent Re-Calibration of the Discrete-Time Multifactor Vasiček Model
Article Menu

Export Article

Open AccessArticle
Risks 2016, 4(3), 19;

An Optimal Turkish Private Pension Plan with a Guarantee Feature

Department of Econometrics, Faculty of Economics and Administrative Sciences, Trakya University, 22030 Edirne, Turkey
Academic Editor: Mogens Steffensen
Received: 10 February 2016 / Revised: 1 June 2016 / Accepted: 13 June 2016 / Published: 27 June 2016
Full-Text   |   PDF [374 KB, uploaded 27 June 2016]   |  


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. View Full-Text
Keywords: Private Pension Plans; Guaranteed Products; CPPI; HJB-Equation Private Pension Plans; Guaranteed Products; CPPI; HJB-Equation

Graphical abstract

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

Share & Cite This Article

MDPI and ACS Style

İşcanog̃lu-Çekiç, A. An Optimal Turkish Private Pension Plan with a Guarantee Feature. Risks 2016, 4, 19.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top