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  • Search: person:"Vetzal, K.R."
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Year of publication
Subject
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Theorie 17 Theory 17 Option pricing theory 12 Optionspreistheorie 12 Portfolio selection 8 Portfolio-Management 8 Volatility 5 Volatilität 5 Altersvorsorge 4 Hedging 4 Numerical analysis 4 Numerisches Verfahren 4 Retirement provision 4 Risikomanagement 4 Risk management 4 Option trading 3 Optionsgeschäft 3 Pension fund 3 Pensionskasse 3 Private Altersvorsorge 3 Private retirement provision 3 Stochastic process 3 Stochastischer Prozess 3 Betriebliche Altersversorgung 2 Occupational pension plan 2 Optimal control 2 Optionsanleihe 2 Pension finance 2 Rentenfinanzierung 2 Risikomaß 2 Risk measure 2 USA 2 United States 2 Warrant bond 2 Yield curve 2 Zinsstruktur 2 asset allocation 2 decumulation 2 defined contribution plan 2 dynamic asset allocation 2
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Undetermined 16 Free 1
Type of publication
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Article 47
Type of publication (narrower categories)
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Article in journal 23 Aufsatz in Zeitschrift 23 Aufsatz im Buch 1 Book section 1
Language
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English 24 Undetermined 23
Author
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Vetzal, Kenneth R. 24 Forsyth, Peter A. 20 Vetzal, K.R. 16 Forsyth, P.A. 14 Zvan, R. 11 Windcliff, H. 9 Forsyth, P. A. 7 Vetzal, K. R. 7 Verma, A. 3 Westmacott, Graham 3 Ayache, E. 2 Coleman, T. F. 2 Coleman, T.F. 2 D'Halluin, Y. 2 Kennedy, J.S. 2 Labahn, G. 2 Windcliff, H. A. 2 Douglas, Alan V. S. 1 He, C. 1 Huang, Alan Guoming 1 Kennedy, Duane B. 1 Li, Y. 1 Morland, W. J. 1 Pooley, D. M. 1 Pooley, D.M. 1 Pooley, David M. 1 Simpson, R. B. 1 Simpson, R.B. 1 Sivakumar, Ranjini 1 Windcliff, H.A. 1 d'Halluin, Y. 1
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Published in...
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Applied mathematical finance 8 Journal of economic dynamics & control 5 Applied Mathematical Finance 4 Journal of banking & finance 4 The journal of computational finance 4 Review of derivatives research 3 ASTIN bulletin : the journal of the International Actuarial Association 2 Insurance / Mathematics & economics 2 Journal of Economic Dynamics and Control 2 The journal of derivatives : the official publication of the International Association of Financial Engineers 2 Computational methods in decision-making, economics and finance 1 European Journal of Operational Research 1 Insurance: Mathematics and Economics 1 International journal of theoretical and applied finance 1 Journal of Banking & Finance 1 Journal of empirical finance 1 Journal of risk and financial management : JRFM 1 North American actuarial journal : NAAJ ; leading the way with original research and innovative applications for actuarial science 1 Operations research : the journal of the Operations Research Society of America 1 Review of quantitative finance and accounting 1 The journal of fixed income 1
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Source
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ECONIS (ZBW) 24 OLC EcoSci 14 RePEc 9
Showing 1 - 10 of 47
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Multi-period mean expected-shortfall strategies : "cut your losses and ride your gains"
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Applied mathematical finance 29 (2022) 5, pp. 402-438
Persistent link: https://www.econbiz.de/10014323484
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Defined contribution pension plans : who has seen the risk?
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of risk and financial management : JRFM 12 (2019) 2/70, pp. 1-27
The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare...
Persistent link: https://www.econbiz.de/10012022143
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Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham - In: ASTIN bulletin : the journal of the International … 51 (2021) 3, pp. 905-938
Persistent link: https://www.econbiz.de/10012656736
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Optimal asset allocation for DC pension decumulation with a variable spending rule
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 419-447
Persistent link: https://www.econbiz.de/10012243346
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Optimal asset allocation for retirement saving : deterministic vs. time consistent adaptive strategies
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Applied mathematical finance 26 (2019) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10012210256
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Management of portfolio depletion risk through optimal life cycle asset allocation
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham - In: North American actuarial journal : NAAJ ; leading the … 23 (2019) 3, pp. 447-468
Persistent link: https://www.econbiz.de/10012180638
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Robust asset allocation for long-term target-based investing
Forsyth, Peter A.; Vetzal, Kenneth R. - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10011686943
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Cash flow volatility and corporate bond yield spreads
Douglas, Alan V. S.; Huang, Alan Guoming; Vetzal, Kenneth R. - In: Review of quantitative finance and accounting 46 (2016) 2, pp. 417-458
Persistent link: https://www.econbiz.de/10011588390
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An optimal stochastic control framework for determining the cost of hedging of variable annuities
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of economic dynamics & control 44 (2014), pp. 29-53
Persistent link: https://www.econbiz.de/10010470085
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Simulations for hedging financial contracts with optimal decisions
Windcliff, H.; Forsyth, Peter A.; Vetzal, Kenneth R.; … - In: Computational methods in decision-making, economics and …, (pp. 271-296). 2010
Persistent link: https://www.econbiz.de/10009153080
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