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An optimal stochastic control framework for determining the cost of hedging of variable annuities
Forsyth, Peter
;
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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2
Optimal performance of a tontine overlay subject to withdrawal constraints
Forsyth, Peter
;
Vetzal, Kenneth R.
;
Westmacott, Graham
- In:
ASTIN bulletin : the journal of the International …
54
(
2024
)
1
,
pp. 94-128
Persistent link: https://www.econbiz.de/10014485602
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3
Optimal dynamic asset allocation for DC plan accumulation/decumulation : Ambition-CVAR
Forsyth, Peter
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 230-245
Persistent link: https://www.econbiz.de/10012294127
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4
A stochastic control approach to defined contribution plan decumulation : "the nastiest, hardest problem in finance"
Forsyth, Peter
- In:
North American actuarial journal : NAAJ ; leading the …
26
(
2022
)
2
,
pp. 227-251
Persistent link: https://www.econbiz.de/10013353158
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5
Comparison of mean variance like strategies for optimal asset allocation problems
Wang, J.
;
Forsyth, Peter
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624512
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6
Numerical solution of the HamiltonJacobiBellman formulation for continuous time mean variance asset allocation
Wang, J.
;
Forsyth, Peter
- In:
Journal of economic dynamics & control
34
(
2010
)
2
,
pp. 207-230
Persistent link: https://www.econbiz.de/10003947664
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7
Pricing hydroelectric power plants with/without operational restrictions : a stochastic control approach
Chen, Zhuliang
;
Forsyth, Peter
- In:
Nonlinear models in mathematical finance : new research …
,
(pp. 273-301)
.
2008
Persistent link: https://www.econbiz.de/10011954476
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8
E-monotone Fourier methods for optimal stochastic control in finance
Forsyth, Peter
;
Labahn, George
- In:
The journal of computational finance
22
(
2018/2019
)
4
,
pp. 25-71
Persistent link: https://www.econbiz.de/10012042218
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9
Time-consistent mean-variance portfolio optimization : a numerical impulse control approach
Staden, Pieter M. van
;
Dang, Duy Minh
;
Forsyth, Peter
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011944090
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10
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
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