Search Results - subject:"Resampled backtests"

Defined contribution pension plans : who has seen the risk?

Forsyth, Peter; 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

Defined contribution pension plans: Who has seen the risk?

Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10012611128

Multi-period mean expected-shortfall strategies : "cut your losses and ride your gains"

Forsyth, Peter; Vetzal, Kenneth R. - In: Applied mathematical finance 29 (2022) 5, pp. 402-438

Persistent link: https://www.econbiz.de/10014323484

Two stage decumulation strategies for DC plan investors

Forsyth, Peter - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10012650200

Optimal dynamic asset allocation for DC plan accumulation/decumulation : Ambition-CVAR

Forsyth, Peter - In: Insurance 93 (2020), pp. 230-245

Persistent link: https://www.econbiz.de/10012294127

Dynamic mean variance asset allocation : tests for robustness

Forsyth, Peter; Vetzal, Kenneth R. - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-37

Persistent link: https://www.econbiz.de/10011777889