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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

Defined contribution pension plans : who has seen the risk?

Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of risk and financial management : JRFM 12 (2019) 2/70, pp. 1-27

The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare...

Persistent link: https://www.econbiz.de/10012022143

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

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

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

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

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

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 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

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