RT Journal Article SR Electronic T1 Managing Guarantees JF The Journal of Portfolio Management FD Institutional Investor Journals SP 51 OP 61 DO 10.3905/jpm.2006.611803 VO 32 IS 2 A1 Michael A.H. Dempster A1 Matteo Germano A1 Elena A. Medova A1 Muriel I. Rietbergen A1 Francesco Sandrini A1 Mark Scrowston YR 2006 UL https://pm-research.com/content/32/2/51.abstract AB 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