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

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.


91G10 Portfolio theory
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