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ArticleOptimal investment strategies in the presence of a minimum guarantee

Griselda Deelstra2003

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Articlegreen2003

Optimal investment strategies in the presence of a minimum guarantee

Griselda Deelstra · Martino Grasselli · Pierre‐François Koehl

210 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Financial Literacy, Pension, Retirement Analysis Risk and Portfolio Optimization

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References

1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1977An equilibrium characterization of the term structure 1971Optimum consumption and portfolio rules in a continuous-time model 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1991Continuous-Time Finance.1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process

Cited by

2004Optimal pension management in a stochastic framework 2012Optimal asset allocation for DC pension plans under inflation 2006Regret, portfolio choice, and guarantees in defined contribution schemes 2008Stochastic optimal control of DC pension funds 2014Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework 2012On efficiency of mean–variance based portfolio selection in defined contribution pension schemes

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Year2003

Typearticle

Published2003-08-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations210

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0167-6687(03)00153-7

openalex_workW2084889689

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2010Optimal Annuity Risk Management

2010Pension funds with a minimum guarantee: a stochastic control approach