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E-monotone Fourier methods for optimal stochastic control in finance
Forsyth, Peter A.; Labahn, George - In: The journal of computational finance 22 (2018/2019) 4, pp. 25-71
Persistent link: https://www.econbiz.de/10012042218
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Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Ma, K.; Forsyth, Peter A. - In: The journal of computational finance 20 (2016) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011639504
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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
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Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies
Tse, S. T.; Forsyth, Peter A.; Kennedy, J. S.; Windcliff, H. - In: Applied mathematical finance 20 (2013) 5/6, pp. 415-449
Persistent link: https://www.econbiz.de/10010235600
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Simulations for hedging financial contracts with optimal decisions
Windcliff, H.; Forsyth, Peter A.; Vetzal, Kenneth R.; … - In: Computational methods in decision-making, economics and …, (pp. 271-296). 2010
Persistent link: https://www.econbiz.de/10009153080
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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
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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