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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

Short term decumulation strategies for underspending retirees

Forsyth, Peter A. - In: Insurance / Mathematics & economics 102 (2022), pp. 56-74

Persistent link: https://www.econbiz.de/10013271956

A stochastic control approach to defined contribution plan decumulation : "the nastiest, hardest problem in finance"

Forsyth, Peter A. - In: North American actuarial journal : NAAJ ; leading the … 26 (2022) 2, pp. 227-251

Persistent link: https://www.econbiz.de/10013353158

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

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

Climate games : who's on first? What's on second?

Insley, Margaret; Forsyth, Peter A. - 2018

Persistent link: https://www.econbiz.de/10011863662