Narrow search
Showing 1 - 7 of 7
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Time-consistent mean-variance portfolio optimization : a numerical impulse control approach
Staden, Pieter M. van; Dang, Duy Minh; Forsyth, Peter A. - In: Insurance / Mathematics & economics 83 (2018), pp. 9-28
Persistent link: https://www.econbiz.de/10011944090
Cover Image
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
Cover Image
Neural network approach to portfolio optimization with leverage constraints : a case study on high inflation investment
Ni, Chendi; Li, Yuying; Forsyth, Peter A. - In: Quantitative finance 24 (2024) 6, pp. 753-777
Persistent link: https://www.econbiz.de/10015050794