Designing minimum guaranteed return funds

DOI10.1080/14697680701264804zbMath1278.91133OpenAlexW4244832541MaRDI QIDQ3593608

Francesco Sandrini, Muriel I. Rietbergen, Matteo Germano, Mike Scrowston, E. A. Medova, Michael A. H. Dempster

Publication date: 23 July 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701264804

zbMATH Keywords

yield curveassetliability managementdynamic stochastic programmingeconomic factor modelguaranteed returns

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (6)

Downside risk in multiperiod tracking error models ⋮ Dynamic Tracking Error with Shortfall Control Using Stochastic Programming ⋮ DC pension fund benchmarking with fixed-mix portfolio optimization ⋮ No-arbitrage conditions, scenario trees, and multi-asset financial optimization ⋮ Cash management using multi-stage stochastic programming ⋮ Path-dependent scenario trees for multistage stochastic programmes in finance

Cites Work

• Estimating continuous-time stochastic volatility models of the short-term interest rate
• A Theory of the Term Structure of Interest Rates
• Solving ALM problems via sequential stochastic programming
• An equilibrium characterization of the term structure

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