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~accessRights:"restricted"
~person:"Forsyth, Peter A."
~subject:"Portfolio-Management"
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Portfolio-Management
Portfolio selection
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Theorie
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Theory
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Asset allocation
4
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Forsyth, Peter A.
Escobar, Marcos
22
Fabozzi, Frank J.
21
Wang, Ruodu
16
Wong, Wing Keung
14
Prigent, Jean-Luc
13
Uppal, Raman
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11
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11
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11
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10
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10
Chen, Zhiping
10
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10
Muhle-Karbe, Johannes
10
Righi, Marcelo Brutti
10
Wong, Hoi Ying
10
Dai, Min
9
Guan, Guohui
9
Jang, Bong-Gyu
9
Ledoit, Olivier
9
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9
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9
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9
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8
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ASTIN bulletin : the journal of the International Actuarial Association
2
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European journal of operational research : EJOR
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International journal of financial engineering
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1
Better than pre-commitment mean-variance portfolio allocation strategies : a semi-self-financing Hamilton-Jacobi-Bellman equation approach
Dang, Duy Minh
;
Forsyth, Peter A.
- In:
European journal of operational research : EJOR
250
(
2016
)
3
,
pp. 827-841
Persistent link: https://www.econbiz.de/10011445336
Saved in:
2
Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
Forsyth, Peter A.
;
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
Saved in:
3
Practical investment consequences of the scalarization parameter formulation in dynamic mean - variance portfolio optimization
Staden, Pieter M. van
;
Dang, Duy Minh
;
Forsyth, Peter A.
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012662021
Saved in:
4
Optimal asset allocation for DC pension decumulation with a variable spending rule
Forsyth, Peter A.
;
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
Saved in:
5
Optimal dynamic asset allocation for DC plan accumulation/decumulation : Ambition-CVAR
Forsyth, Peter A.
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 230-245
Persistent link: https://www.econbiz.de/10012294127
Saved in:
6
Robust asset allocation for long-term target-based investing
Forsyth, Peter A.
;
Vetzal, Kenneth R.
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011686943
Saved in:
7
A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
Li, Yuying
;
Forsyth, Peter A.
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 189-204
Persistent link: https://www.econbiz.de/10012058861
Saved in:
8
Optimal asset allocation for retirement saving : deterministic vs. time consistent adaptive strategies
Forsyth, Peter A.
;
Vetzal, Kenneth R.
- In:
Applied mathematical finance
26
(
2019
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012210256
Saved in:
9
Management of portfolio depletion risk through optimal life cycle asset allocation
Forsyth, Peter A.
;
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
Saved in:
10
Dynamic mean variance asset allocation : tests for robustness
Forsyth, Peter A.
;
Vetzal, Kenneth R.
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011777889
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