%0 Journal Article
%T Optimal investment strategies under flexible return guarantee<br>灵活收益保证设定形式下的最优投资策略
%A WANG Yi-qi
%A LIU Hai-long
%A LIU Fu-bing
%A <br>王亦奇
%A 刘海龙
%A 刘富兵
%J 系统工程理论与实践
%D 2011
%I 
%X we consider optimal investment problem with a more flexible return guarantee which is widely used currently.Using martingale method,we derive the explicit solution under the stochastic interest rate environment.The result shows that the optimal investment strategies include three parts:one is the speculative portfolio strategy,another is the hedge strategy for stochastic interest rate,the other is the hedge strategy for return guarantee.Because the return guarantee show great flexibility,which is equivalent...
%K investment strategies
%K minimum return guarantee
%K option
%K martingale method<br>投资策略
%K 最低收益保证
%K 期权
%K 鞅方法
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=5704D2E38E2B920F6E1FD13264A3CBA1&yid=9377ED8094509821&vid=4AD960B5AD2D111A&iid=B31275AF3241DB2D&sid=512771C17A2FFC1B&eid=E947FD4445DA7BA0&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=18