Optimal investment strategies in the presence of a minimum guarantee

By Griselda Deelstra, Martino Grasselli, P. Koehl. 2003

233 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4e0783a45d59e82c7a3b94283e8420b4d599a39a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Guohui Guan
2. Zongxia Liang
3. Elena Vigna
4. F. Menoncin
5. Pei Wang
6. Ping Chen
7. Zhongfei Li
8. Zhou Yang

In Economics and Econometrics

1. Guohui Guan
2. Jacqueline M. Volkman
3. Olivia S. Mitchell
4. Zongxia Liang
5. Pei Wang
6. Ping Chen
7. Zhongfei Li
8. Elena Vigna

In Finance

1. Elena Vigna
2. Zongxia Liang
3. Guohui Guan
4. Pei Wang
5. Haixiang Yao
6. Ping Chen
7. Zhongfei Li
8. Zhou Yang

Citations in the corpus

• Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013, background): “By maximizing the expected utility of the fund wealth in excess of the minimum guarantee at the retirement date, Boulier et al. (2001) and Deelstra et al. (2003) consider an optimal asset allocation problem with stochastic interest rates and aminimumguarantee protection.”
• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014, methodology): “We can also obverse from the formula that in the case ρSL = 0, that is, WS(t) is independent of WL(t), the proportions B1 and S1 are all equal to zero and the optimal proportions are the same as in Deelstra et all [5](2003).”
• Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework (2017, background): “…(mainly maximisation of expected utility of final wealth) and financial market structures, see, among many others, Boulier et al. (2001), Haberman and Vigna (2002), Deelstra et al. (2003), Devolder et al. (2003), Battocchio and Menoncin (2004), Cairns et al. (2006), Di Giacinto et al. (2011).”
• Regret, Portfolio Choice, and Guarantees in Defined Contribution Schemes (2006, background): “Of course, a guarantee on an investment would offer some wealth protection, which would reduce the individual’s feeling of regret.”
• On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2014, background): “In addition, this extension would be in line with the most advanced models for portfolio allocation in pension funds (see, for instance, Boulier et al. (2001), Deelstra et al. (2003), Battocchio and Menoncin (2004), Cairns et al. (2006) and Gao (2008)).”
• Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility (2018, methodology): “Deelstra et al. (2003) extend themodel of Boulier et al. (2001) to an affine interest rate model including the Vasicek model and apply the martingale method perfectly.”