Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
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- R. C. Merton, 1970.
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- Isabelle Bajeux-Besnainou & Roland Portait, 1998. "Dynamic Asset Allocation in a Mean-Variance Framework," Management Science, INFORMS, vol. 44(11-Part-2), pages S79-S95, November.
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- Black, Fischer & Perold, AndreF., 1992. "Theory of constant proportion portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 403-426.
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