Optimal investment strategies in a CIR framework

By Griselda Deelstra, Martino Grasselli, P. Koehl. Journal of Applied Probability, 2000

120 citations recorded by the source corpus.

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Citations in the corpus

Optimal investment strategies in the presence of a minimum guarantee (2003, background): “ned by: o(y) = y ° ; ° 2 (¡1; 1)nf0g; (8) The program of the manager is then to maximize the expected utility of his terminal wealth under feasibility constraints, namely:”
Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase (2001, background): “πBt = lnRBt− lnRft Suppose that the nominal yield on bonds ( yBt) is determined by the following equation35: lnyBt = lnyB + f1(lnyBt−1− lnyB) + f2πBt (19) = (1− f1)lnyB + f1 lnyBt−1 + f2πBt (20) = f0 + f1 lnyBt−1 + f2πBt (21) wherelnyB is the (natural log of the) long-term yield on bonds.”
CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS (2005, methodology): “MPR following a Vasicek process (Kim and Omberg 1995), or an MPR given by an affine function of the square root of an affine process (Liu 2001; Chacko and Viceira 2004), or a constant MPR combined with an affine spot rate process (Deelstra et al. 2000).”
A stochastic volatility model and optimal portfolio selection (2013, unknown): “Fleming and Hernández-Hernández (2003) consider an optimal consumption and investment SV model.”
Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2006, background): “First, Deelstra et al. (1999) use a bond with a fixed maturity date whereas here asset 1 is a bond index with constant volatility.”