TY - JOUR T1 - Managing Guarantees JF - The Journal of Portfolio Management SP - 51 LP - 61 DO - 10.3905/jpm.2006.611803 VL - 32 IS - 2 AU - Michael A.H. Dempster AU - Matteo Germano AU - Elena A. Medova AU - Muriel I. Rietbergen AU - Francesco Sandrini AU - Mark Scrowston Y1 - 2006/01/31 UR - https://pm-research.com/content/32/2/51.abstract N2 - We have seen in recent years a significant growth in investment products aimed at investors who are worried about downside potential in the financial markets. One response is a dynamic stochastic optimization model for managing products with nominal or real guarantees. An optimal dynamic portfolio allocation strategy combined with risk management allows an institution to provide the best possible portfolio returns commensurate with clients' risk aversion. Implementation of such an investment strategy is illustrated using real market data and backtested through 1999–2004.TOPICS: Portfolio construction, risk management, portfolio theory ER -