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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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Continuous time mean variance asset allocation : a time-consistent strategy
Wang, Jin; Forsyth, Peter A. - In: European journal of operational research : EJOR 209 (2011) 2, pp. 184-201
Persistent link: https://www.econbiz.de/10008798657
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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
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Optimal asset allocation for retirement saving : deterministic vs. time consistent adaptive strategies
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Applied mathematical finance 26 (2019) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10012210256