In recent years the popularity of indexing has greatly increased in financial markets and many different families of products have been introduced. Often these products also have a minimum guarantee in the form of a minimum rate of return at specified dates or a minimum level of wealth at the...

In this contribution we consider a dynamic portfolio optimization problem where the manager has to deal with the presence of minimum guarantee requirements on the performance of the portfolio. We briefly discuss different possibilities for the formulation of the problem and present a quite...