Optimal investment strategies in the presence of a minimum guarantee

Author:

Deelstra Griselda,Grasselli Martino,Koehl Pierre-François

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference18 articles.

1. Bajeux-Besnainou, I., Jordan, J.V., Portait, R., 1998. Dynamic asset allocation for stocks, bonds and cash over long horizons. In: Presented at the 1998 Southern Finance Association Conference and at the October 1998 Bachelier Seminar in Paris.

2. Bajeux-Besnainou, I., Jordan, J.V., Portait, R., 1999. On the bond-stock asset allocation puzzle. In: Presented at the 1999 Eastern Finance Association Conference.

3. Optimal management under stochastic interest rates: the case of a protected pension fund;Boulier;Insurance: Mathematics and Economics,2001

4. The volatility of short-term interest rates: an empirical comparison of alternative models of the term structure of interest rates;Chan;Journal of Finance,1992

5. Optimal consumption and portfolio policies when asset prices follow a diffusion process;Cox;Journal of Economic Theory,1989

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