期刊名称：Finance Publications / Centre for Financial Research, Cambridge University
出版年度：2004
卷号：2004
出版社：Cambridge University
摘要：In recent years there has been a significant growth of investment products aimed at
attracting investors who are worried about the downside potential of the financial
markets. This paper introduces a dynamic stochastic optimization model for the design of
such products. An optimal dynamic portfolio allocation strategy combined with risk
management allows us to provide the best possible portfolio returns that fit clients’ risk
aversion. The pricing of the minimum guarantee as well as the valuation of a portfolio of
bonds are based on a three-factor term structure model. The implementation of our
investment strategy is illustrated on real market data and back-tested through a period of
the last five years.
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