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Better than pre-commitment mean-variance portfolio allocation strategies : a semi-self-financing Hamilton-Jacobi-Bellman equation approach
Dang, Duy Minh; Forsyth, Peter - In: European journal of operational research : EJOR 250 (2016) 3, pp. 827-841
Persistent link: https://www.econbiz.de/10011445336
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Continuous time mean variance asset allocation : a time-consistent strategy
Wang, Jin; Forsyth, Peter - In: European journal of operational research : EJOR 209 (2011) 2, pp. 184-201
Persistent link: https://www.econbiz.de/10008798657
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Across-time risk-aware strategies for outperforming a benchmark
Staden, Pieter M. van; Forsyth, Peter; Li, Yuying - In: European journal of operational research : EJOR 313 (2024) 2, pp. 776-800
Persistent link: https://www.econbiz.de/10014456636
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The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors
Staden, Pieter M. van; Dang, Duy Minh; Forsyth, Peter - In: European journal of operational research : EJOR 289 (2021) 2, pp. 774-792
Persistent link: https://www.econbiz.de/10012416872