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Quantitative Finance Volume 7, 2007 - Issue 2: Financial Planning in a Dynamical Setting
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Original Articles

Designing minimum guaranteed return funds

M. A. H. Dempster Centre for Financial Research, Judge Business School, University of Cambridge & Cambridge Systems Associates Ltd, Cambridge, UKCorrespondence[email protected]
,
M. Germano Pioneer Investment Management Ltd, 1 George's Quay Plaza, George's Quay, Dublin 2, Eire
,
E. A. Medova Centre for Financial Research, Judge Business School, University of Cambridge & Cambridge Systems Associates Ltd, Cambridge, UK
,
M. I. Rietbergen Securitisation & Asset Monetisation Group, Morgan Stanley, London
,
F. Sandrini Pioneer Investment Management Ltd, 1 George's Quay Plaza, George's Quay, Dublin 2, Eire
&
M. Scrowston Pioneer Investment Management Ltd, 1 George's Quay Plaza, George's Quay, Dublin 2, Eire
Pages 245-256 | Received 31 May 2005, Accepted 25 Jan 2007, Published online: 08 May 2007

Citations (22)

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Giorgio Consigli, Gaetano Iaquinta & Vittorio Moriggia. (2012) Path-dependent scenario trees for multistage stochastic programmes in finance. Quantitative Finance 12:8, pages 1265-1281.
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Robert Ferstl & Alex Weissensteiner. (2010) Cash management using multi-stage stochastic programming. Quantitative Finance 10:2, pages 209-219.
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M. A. H. Dempster, E. A. Germano, M. Medova, M. I. Rietbergen, F. Sandrini, M. Scrowston & N. Zhang. (2007) DC pension fund benchmarking with fixed-mix portfolio optimization. Quantitative Finance 7:4, pages 365-370.
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Articles from other publishers (19)

Giorgio Consigli, Vittorio Moriggia, Elena Benincasa, Giacomo Landoni, Filomena Petronio, Sebastiano Vitali, Massimo di Tria, Mario Skoric & Angelo Uristani. 2018. Handbook of Recent Advances in Commodity and Financial Modeling. Handbook of Recent Advances in Commodity and Financial Modeling 267 296 .
C.A. Valle, N. Meade & J.E. Beasley. (2014) Absolute return portfolios. Omega 45, pages 20-41.
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Diana Barro & Elio Canestrelli. 2014. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Mathematical and Statistical Methods for Actuarial Sciences and Finance 41 53 .
M.A.H. Dempster & Ke Tang. (2011) Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities. Journal of Banking & Finance 35:3, pages 639-652.
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Xi Yang, Jacek Gondzio & Andreas Grothey. 2011. Asset and Liability Management Handbook. Asset and Liability Management Handbook 110 138 .
Michael Dempster, Elena Medova & Michael Villaverde. 2011. Asset and Liability Management Handbook. Asset and Liability Management Handbook 79 109 .
Robert Ferstl & Alexander Weissensteiner. 2011. Asset and Liability Management Handbook. Asset and Liability Management Handbook 469 494 .
Alois Geyer, Michael Hanke & Alex Weissensteiner. (2010) No-arbitrage conditions, scenario trees, and multi-asset financial optimization. European Journal of Operational Research 206:3, pages 609-613.
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Xi Yang, Jacek Gondzio & Andreas Grothey. (2010) Asset liability management modelling with risk control by stochastic dominance. Journal of Asset Management 11:2-3, pages 73-93.
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Michael A H Dempster, Elena A Medova & Michael Villaverde. (2010) Long-term interest rates and consol bond valuation. Journal of Asset Management 11:2-3, pages 113-135.
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Robert Ferstl & Alex Weissensteiner. (2010) Backtesting short-term treasury management strategies based on multi-stage stochastic programming. Journal of Asset Management 11:2-3, pages 94-112.
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Alex Weissensteiner. (2010) Using the Black–Derman–Toy interest rate model for portfolio optimization. European Journal of Operational Research 202:1, pages 175-181.
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Michael A.H Dempster, Matteo Germano, Elena A Medova, James K Murphy, Dermot Ryan & Francesco Sandrini. (2009) Risk-Profiling Defined Benefit Pension Schemes. The Journal of Portfolio Management 35:4, pages 76-93.
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Faisal Habib, Huang Huaxiong & Moshe A. Milevsky. (2017) Approximate Solutions to Retirement Spending Problems and the Optimality of Ruin. SSRN Electronic Journal.
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M. A. H. Dempster & Elena Medova. (2015) Stabilizing Implementable Decisions in Dynamic Stochastic Programming. SSRN Electronic Journal.
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M. A. H. Dempster & Elena Medova. (2014) Comparison of Sampling Methods for Dynamic Stochastic Programming. SSRN Electronic Journal.
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Diana Barro & Elio Canestrelli. (2012) Dynamic Tracking Error with Shortfall Control Using Stochastic Programming. SSRN Electronic Journal.
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M. A. H. Dempster & Ke Tang. (2009) Estimating Exponential Affine Models with Correlated Measurement Errors: Applications to Fixed Income and Commodities. SSRN Electronic Journal.
Crossref
Robert Ferstl & Alex Weissensteiner. (2009) Back Testing Short-term Treasury Management Strategies Based on Multi-Stage Stochastic Programming. SSRN Electronic Journal.
Crossref

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