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Optimal trade execution : a mean quadratic variation approach

Forsyth, Peter; Kennedy, J. S.; Tse, S. T.; Windcliff, H. - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1971-1991

Persistent link: https://www.econbiz.de/10009701897

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

Management of Portfolio Depletion Risk Through Optimal Life Cycle Asset Allocation

Forsyth, Peter - 2018

Members of defined contribution (DC) pension plans must take on additional responsibilities for their investments, compared to participants in defined benefit (DB) pension plans. The transition from DB to DC plans means that more employees are faced with these responsibilities. We explore the...

Persistent link: https://www.econbiz.de/10012919020

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

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

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

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

Robust asset allocation for long-term target-based investing

Forsyth, Peter; Vetzal, Kenneth R. - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10011686943

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

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