De ned contribution pension schemes and life <p> insurance contracts often have a minimum interest rate guar- <p> antee as an integrated part of the contract. This guarantee <p> is an embedded put option issued by the institution to the <p> individual, who is forced to hold the option in the portfolio. <p>...</p></p></p></p></p>

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We consider the optimal asset allocation choice of an investor who can invest in <p> cash (a money market bank account), nominal bonds, and stocks (the stock index). <p> The investor faces an incomplete market setting and is not able to perfectly hedge <p> long run real interest rate risk using the...</p></p></p>

The stochastic behavior of agricultural commodity prices is investigated using ob- <p> servations of the term structures of futures prices over time. The continuous time <p> dynamics of (log-) commodity prices are modeled as a sum of a deterministic sea- <p> sonal component, a non-stationary...</p></p></p>

We study the consumption and investment choice of a time-additive power utility <p> investor and demonstrate how theinvestor should optimally hedge changes in the op- <p> portunity set. The investor is allowed to invest in stocks and interest rate dependent <p> assets in a continuous-time dynamically...</p></p></p>

This paper sets up and estimates a continuous-time stochastic volatility model using <p> panel data of soybean futures and options in an integrated time-series study. The <p> model of commodity price dynamics is within the class of affine asset pricing models, <p> and option prices are determined using a...</p></p></p>

We derive an explicit solution to the portfolio problem of a power utility investor with preferences for wealth at a ¯nite investment horizon. The investor can invest in assets with return dynamics described as part of a general multivariate model. The modeling framework encompasses...