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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

Optimal asset allocation for DC pension decumulation with a variable spending rule

Forsyth, Peter; Vetzal, Kenneth R.; Westmacott, Graham - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 419-447

Persistent link: https://www.econbiz.de/10012243346

Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation

Forsyth, Peter; Vetzal, Kenneth R.; Westmacott, Graham - In: ASTIN bulletin : the journal of the International … 51 (2021) 3, pp. 905-938

Persistent link: https://www.econbiz.de/10012656736

Management of portfolio depletion risk through optimal life cycle asset allocation

Forsyth, Peter; Vetzal, Kenneth R.; Westmacott, Graham - In: North American actuarial journal : NAAJ ; leading the … 23 (2019) 3, pp. 447-468

Persistent link: https://www.econbiz.de/10012180638

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

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

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

Optimal asset allocation for retirement saving : deterministic vs. time consistent adaptive strategies

Forsyth, Peter; Vetzal, Kenneth R. - In: Applied mathematical finance 26 (2019) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10012210256

Defined contribution pension plans : who has seen the risk?

Forsyth, Peter; Vetzal, Kenneth R. - In: Journal of risk and financial management : JRFM 12 (2019) 2/70, pp. 1-27

The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare...

Persistent link: https://www.econbiz.de/10012022143

Multi-period mean expected-shortfall strategies : "cut your losses and ride your gains"

Forsyth, Peter; Vetzal, Kenneth R. - In: Applied mathematical finance 29 (2022) 5, pp. 402-438

Persistent link: https://www.econbiz.de/10014323484