Optimal portfolio management with American capital guarantee
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Publication:953755
DOI10.1016/J.JEDC.2003.11.005zbMATH Open1202.91295OpenAlexW2171361952MaRDI QIDQ953755FDOQ953755
Monique Jeanblanc, Vincent Lacoste, Nicole El Karoui
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2003.11.005
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Cites Work
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Cited In (43)
- Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework
- A stochastic control problem with delay arising in a pension fund model
- Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
- Optimal portfolio positioning within generalized Johnson distributions
- On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
- Portfolio insurance with liquidity risk
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
- On the optimality of path-dependent structured funds: the cost of standardization
- Optimal portfolio policies under bounded expected loss and partial information
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- Reflected backward stochastic differential equations with time-delayed generators
- PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT
- Optimal portfolio choice and consistent performance
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE
- Finite time Merton strategy under drawdown constraint: a viscosity solution approach
- Downside risk in multiperiod tracking error models
- Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints
- PORTFOLIO MANAGEMENT WITH CONSTRAINTS
- Pension funds with a minimum guarantee: a stochastic control approach
- Income drawdown option with minimum guarantee
- Minimum return guarantees, investment caps, and investment flexibility
- Optimal investment-consumption and life insurance with capital constraints
- Best portfolio insurance for long-term investment strategies in realistic conditions
- Minimum return guarantees with fund switching rights -- an optimal stopping problem
- On the optimal design of insurance contracts with guarantees
- Optimal investment strategies with a minimum performance constraint
- Asset allocation strategies in the presence of liability constraints
- Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints
- A dynamic programming approach to path-dependent constrained portfolios
- Constant proportion portfolio insurance under a regime switching exponential Lévy process
- Effectiveness of CPPI strategies under discrete-time trading
- Portfolio insurance under a risk-measure constraint
- Optimal consumption, investment and life insurance with surrender option guarantee
- Long-term optimal portfolios with floor
- Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees
- Optimal portfolios with a positive lower bound on final wealth
- Optimal design of equity-linked products with a probabilistic constraint
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
- On dynamic programming principle for stochastic control under expectation constraints
- Optimal Tracking Portfolio with a Ratcheting Capital Benchmark
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
- Hedging under multiple risk constraints
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