Designing minimum guaranteed return funds
DOI10.1007/978-1-4419-9586-5_2zbMATH Open1405.91547OpenAlexW2129168570MaRDI QIDQ4613809FDOQ4613809
Authors: Matteo Germano, E. A. Medova, Muriel I. Rietbergen, Francesco Sandrini, M. Scrowston, M. 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
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yield curvedynamic stochastic programmingasset and liability managementeconomic factor modelguaranteed returns
Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Portfolio theory (91G10) Stochastic programming (90C15) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
Cites Work
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- An equilibrium characterization of the term structure
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Planning logistics operations in the oil industry
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- Solving ALM problems via sequential stochastic programming
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- Minimum Rate of Return Guarantees: The Danish Case
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