Optimal investment strategies in the presence of a minimum guarantee. (Q1413348)
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scientific article; zbMATH DE number 2004043
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment strategies in the presence of a minimum guarantee. |
scientific article; zbMATH DE number 2004043 |
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Optimal investment strategies in the presence of a minimum guarantee. (English)
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16 November 2003
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This research paper represents a significant study in obtaining optimal strategies in a model for a defined contribution pension fund, taking into account the presence of a minimum guarantee and a continuous-time framework. This kind of long-term investment problems allows for a stochastic term structure concerning the interest rates and it is related to the pension fund management. The authors completed this work with a pertinent numerical analysis, important comparisons and they suggest several directions for future research using the final conclusions and the appropriate references.
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optimal investment strategy
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minimum guarantee
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pension fund
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stochastic interest rate
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