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Simulations for hedging financial contracts with optimal decisions

Windcliff, H.; Forsyth, Peter; Vetzal, Kenneth R.; … - In: Computational methods in decision-making, economics and …, (pp. 271-296). 2010

Persistent link: https://www.econbiz.de/10009153080

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

Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies

Tse, S. T.; Forsyth, Peter; Kennedy, J. S.; Windcliff, H. - In: Applied mathematical finance 20 (2013) 5/6, pp. 415-449

Persistent link: https://www.econbiz.de/10010235600

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

Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility

Ma, K.; Forsyth, Peter - In: The journal of computational finance 20 (2016) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10011639504

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

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

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

Practical investment consequences of the scalarization parameter formulation in dynamic mean - variance portfolio optimization

Staden, Pieter M. van; Dang, Duy Minh; Forsyth, Peter - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-49

Persistent link: https://www.econbiz.de/10012662021

Continuous Time Mean-Variance Optimal Portfolio Allocation Under Jump Diffusion : An Numerical Impulse Control Approach

Dang, Duy-Minh - 2013

We present efficient partial differential equation (PDE) methods for continuous time mean-variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. The standard formulation of mean-variance optimal portfolio allocation problems, where the total wealth is...

Persistent link: https://www.econbiz.de/10013084034