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Mathematical programming
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Forsyth, Peter
12
Staden, Pieter M. van
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Windcliff, H.
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Nonlinear models in mathematical finance : new research trends in option pricing
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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
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2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
A global-in-time neural network approach to dynamic portfolio optimization
Staden, Pieter M. van
;
Forsyth, Peter
;
Li, Yuying
- In:
Applied mathematical finance
31
(
2024
)
3
,
pp. 131-163
Persistent link: https://www.econbiz.de/10015415718
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