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Zbl 1074.91013
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
Optimal investment strategies in the presence of a minimum guarantee. (English)
[J] Insur. Math. Econ. 33, No. 1, 189-207 (2003). ISSN 0167-6687

This research paper represents a significant study in obtaining optimal strategies in a model for a defined contribution pension fund, taking into account the presence of a minimum guarantee and a continuous-time framework. This kind of long-term investment problems allows for a stochastic term structure concerning the interest rates and it is related to the pension fund management. The authors completed this work with a pertinent numerical analysis, important comparisons and they suggest several directions for future research using the final conclusions and the appropriate references.
[Vasile Postolică (Piatra Neamt)]

MSC 2000:: *91B28 Finance etc.

Keywords: optimal investment strategy; minimum guarantee; pension fund; stochastic interest rate

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