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Strategic interactions and uncertainty in decisions to curb greenhouse gas emissions

Insley, Margaret; Snoddon, Tracy R.; Forsyth, Peter A. - 2018 - This version: June 1, 2018

Persistent link: https://www.econbiz.de/10011863663

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

Comparison of mean variance like strategies for optimal asset allocation problems

Wang, J.; Forsyth, Peter A. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10009624512

Optimal trade execution : a mean quadratic variation approach

Forsyth, Peter A.; 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 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

COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS

WANG, J.; FORSYTH, P. A. - In: International Journal of Theoretical and Applied … 15 (2012) 02, pp. 1250014-1

We determine the optimal dynamic investment policy for a mean quadratic variation objective function by numerical solution of a nonlinear Hamilton-Jacobi-Bellman (HJB) partial differential equation (PDE). We compare the efficient frontiers and optimal investment policies for three mean variance...

Persistent link: https://www.econbiz.de/10010540279