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Pricing methods and hedging strategies for volatility derivatives
Windcliff, H.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of banking & finance 30 (2006) 2, pp. 409-431
Persistent link: https://www.econbiz.de/10003291280
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Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham - In: ASTIN bulletin : the journal of the International … 51 (2021) 3, pp. 905-938
Persistent link: https://www.econbiz.de/10012656736
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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
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Multi-period mean expected-shortfall strategies : "cut your losses and ride your gains"
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Applied mathematical finance 29 (2022) 5, pp. 402-438
Persistent link: https://www.econbiz.de/10014323484