Investment strategies in the presence of a minimum performance guarantee under stochastic interest rate

zbMATH Open1240.91148MaRDI QIDQ3170985FDOQ3170985

Authors: Fubing Liu, Hailong Liu 

Publication date: 29 September 2011

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zbMATH Keywords

martingale methodinvestment strategiesinterest rate term structureminimum performance guarantee

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (3)

• An evaluation of some popular investment strategies under stochastic interest rates
• Minimum Rate of Return Guarantees: The Danish Case
• Optimal investment strategies with a minimum performance constraint

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