Peter Forsyth
University of Waterloo
H-index: 59
North America-Canada
Top articles of Peter Forsyth
A Buy and Hold Portfolio Loses Diversification
2023/12/12
Across-time risk-aware strategies for outperforming a benchmark
European Journal of Operational Research
2024/3/1
Optimal performance of a tontine overlay subject to withdrawal constraints
ASTIN Bulletin: The Journal of the IAA
2024/1
Target Date Funds: a bad idea whose time has come
2023/12/2
Beating a benchmark: dynamic programming may not be the right numerical approach
SIAM Journal on Financial Mathematics
2023/6/30
Machine Learning and Hamilton-Jacobi-Bellman Equation for Optimal Decumulation: a Comparison Study
arXiv preprint arXiv:2306.10582
2023/6/18
Neural Network Approach to Portfolio Optimization with Leverage Constraints: A Case Study on High Inflation Investment
arXiv preprint arXiv:2304.05297
2023/5/26
Yuying Li
H-Index: 1
Peter Forsyth
H-Index: 30
Beating a constant weight benchmark: easier done than said
International Journal of Theoretical and Applied Finance (IJTAF)
2023/5/21
Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach
arXiv preprint arXiv:2304.05297
2023/4/11
A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming
arXiv preprint arXiv:2303.08968
2023/3/15
What’s LDI got to do with it?
2023/1/18
Multi-Period Mean Expected-Shortfall Strategies:‘Cut Your Losses and Ride Your Gains’
Applied Mathematical Finance
2022/9/3
Optimal asset allocation for outperforming a stochastic benchmark target
Quantitative Finance
2022/9/2
Yuying Li
H-Index: 1
Peter Forsyth
H-Index: 30
Asset allocation during high inflation periods: A stress test
2022/6/16
Decumulation of Defined Contribution Pension Plans: The Canasta Strategy
2022/4/29
A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance”
North American Actuarial Journal
2022/4/3
Equal weight vs capitalization weight indexes
White paper, Cheriton School
2022/3/2