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ArticleOptimal portfolio management with American capital guarantee

Nicole El Karoui2004

Article2004

Optimal portfolio management with American capital guarantee

Nicole El Karoui · Monique Jeanblanc · Vincent Lacoste

116 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

1973An Intertemporal Capital Asset Pricing Model 1971Optimum consumption and portfolio rules in a continuous-time model 1998Methods of Mathematical Finance 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1997Martingale Methods in Financial Modelling 1998Methods of Mathematical Finance 1997Strategic asset allocation 1988Dynamic Strategies for Asset Allocation

Cited by

2009CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES 2010Pension funds with a minimum guarantee: a stochastic control approach 2010Omega performance measure and portfolio insurance 2010A stochastic control problem with delay arising in a pension fund model 2019Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan 2010Optimal Control under Stochastic Target Constraints

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Year2004

Typearticle

Published2004-05-13

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations116

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jedc.2003.11.005

openalex_workW2171361952

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2018Omega Performance Measure and Portfolio Insurance

2008Effectiveness of CPPI strategies under discrete-time trading