Designing minimum guaranteed return funds

Quantitative Finance

Volumn 7, Issue 2, 2007, Pages 245-256

  Dempster, M A H ^a   Germano, M ^b   Medova, E A ^a   Rietbergen, M I ^c   Sandrini, F ^b   Scrowston, M ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b Pioneer Investments Ltd   (Ireland)

^c MORGAN STANLEY   (United States)

Author keywords

Asset liability management; Dynamic stochastic programming; Economic factor model; Guaranteed returns; Yield curve

Indexed keywords

EID: 34248567058     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680701264804     Document Type: Article

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