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Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François

Optimal investment strategies in the presence of a minimum guarantee. (English) Zbl 1074.91013

Insur. Math. Econ. 33, No. 1, 189-207 (2003).
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.
Reviewer: Vasile Postolică (Piatra Neamt)

Cited in 69 Documents

MSC:

91G10 Portfolio theory

Keywords:

optimal investment strategy; minimum guarantee; pension fund; stochastic interest rate
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\textit{G. Deelstra} et al., Insur. Math. Econ. 33, No. 1, 189--207 (2003; Zbl 1074.91013)
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References:

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