Optimal portfolio management with American capital guarantee
Article Abstract:
Finite horizon portfolio strategies which maximize a utility criterion when a constraint is imposed on a terminal date (European guarantee) or on every intermediate date (American Guarantee) is investigated. The optimality of the Option Based Portfolio Insurance (OBPI) method for both European and American cases which focuses on the maximization of an expected utility criterion is described.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2005
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Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999
Article Abstract:
An investment model based on Stochastic Programming is constructed. The model is applied to a case where one can invest in a Swedish Stock index, call options on the index and the risk-free asset and by reoptimizing the portfolio on a daily basis over a ten-year period, it is shown that options can be used to create a portfolio that outperforms the index.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2003
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Intertemporal surplus management
Article Abstract:
The intertemporal portfolio selection model for pension funds or life insurance funds that maximizes the intertemporal expected utility of the surplus of assets net of liabilities is presented. The optimum that occurs for investors holding four funds is detailed.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
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