Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 5 of 5 for “"minimum guarantee"”.
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Three aspects of investment decisions under terminal wealth constraints
… both the benchmark portfolio, to which the minimum guarantee is linked, and the venture portfolio, by which the investor participates in potential market gains. We extend the analysis of conditional stochastic dominance developed by Zagst et al. (2019) to enable the comparison of GOPISs with …
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Three aspects of investment decisions under terminal wealth constraints
… both the benchmark portfolio, to which the minimum guarantee is linked, and the venture portfolio, by which the investor participates in potential market gains. We extend the analysis of conditional stochastic dominance developed by Zagst et al. (2019) to enable the comparison of GOPISs with …
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Discrete and continuous time methods of optimization in pension fund management
… markets, some pension companies have attached minimum guarantees to pension contracts. These guarantees come at a price, but ensure that the member does not suffer a loss due to poorly performing equities.In this thesis we study four types of mathematical problems in pension fund management,of …
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A mathematical model for managing equity-linked pensions
… attain, pension companies started attaching a minimum guaranteed amount to member’s benefits. In this mini-thesis we look at the pioneering work of Brennan and Schwartz [10] for pricing these minimum guarantees. The model they developed prices these minimum guarantees using option pricing …
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Mathematical model of performance measurement of defined contribution pension funds
… defined contribution pension fund plan with a minimum guarantee and benchmark in order to mitigate the risk that pension fund members are subject to. For the pension fund manager the aim is to find the optimal asset allocation strategy which optimises its retribution which is in fact a part of …