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A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - In: Journal of economic dynamics & control 46 (2014), pp. 1-29
Persistent link: https://www.econbiz.de/10010474410
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Risk management of time varying floors for dynamic portfolio insurance
Ben-Ameur, Hatem; Prigent, Jean-Luc - In: European journal of operational research : EJOR 269 (2018) 1, pp. 363-381
Persistent link: https://www.econbiz.de/10011864356
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Continuous time mean variance asset allocation : a time-consistent strategy
Wang, Jin; Forsyth, Peter A. - In: European journal of operational research : EJOR 209 (2011) 2, pp. 184-201
Persistent link: https://www.econbiz.de/10008798657
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Portfolio insurance : gap rising under conditional multiples
Ameur, H. Ben; Prigent, Jean-Luc - In: European journal of operational research : EJOR 236 (2014) 1, pp. 238-253
Persistent link: https://www.econbiz.de/10010361725
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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
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On the optimality of path-dependent structured funds : the cost of standardization
Bertrand, Philippe; Prigent, Jean-Luc - In: European journal of operational research : EJOR 277 (2019) 1, pp. 333-350
Persistent link: https://www.econbiz.de/10012015036
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Numerical solution of the HamiltonJacobiBellman formulation for continuous time mean variance asset allocation
Wang, J.; Forsyth, Peter A. - In: Journal of economic dynamics & control 34 (2010) 2, pp. 207-230
Persistent link: https://www.econbiz.de/10003947664
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An optimal stochastic control framework for determining the cost of hedging of variable annuities
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of economic dynamics & control 44 (2014), pp. 29-53
Persistent link: https://www.econbiz.de/10010470085
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The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors
Staden, Pieter M. van; Dang, Duy Minh; Forsyth, Peter A. - In: European journal of operational research : EJOR 289 (2021) 2, pp. 774-792
Persistent link: https://www.econbiz.de/10012416872
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Across-time risk-aware strategies for outperforming a benchmark
Staden, Pieter M. van; Forsyth, Peter A.; Li, Yuying - In: European journal of operational research : EJOR 313 (2024) 2, pp. 776-800
Persistent link: https://www.econbiz.de/10014456636