Designing Minimum Guaranteed Return Funds

DOI10.1007/978-1-4419-9586-5_2zbMath1405.91547OpenAlexW2129168570MaRDI QIDQ4613809

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

Publication date: 25 January 2019

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4419-9586-5_2

zbMATH Keywords

yield curvedynamic stochastic programmingasset and liability managementeconomic factor modelguaranteed returns

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Cites Work

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