Van Staden, Pieter M.; Forsyth, Peter A.; Li, Yuying Beating a benchmark: dynamic programming may not be the right numerical approach. (English) Zbl 1516.91055 SIAM J. Financ. Math. 14, No. 2, 407-451 (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. M. Van Staden} et al., SIAM J. Financ. Math. 14, No. 2, 407--451 (2023; Zbl 1516.91055) Full Text: DOI
Ni, Chendi; Li, Yuying; Forsyth, Peter; Carroll, Ray Optimal asset allocation for outperforming a stochastic benchmark target. (English) Zbl 1505.91354 Quant. Finance 22, No. 9, 1595-1626 (2022). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91G10 62P05 62M45 68T07 91G05 PDFBibTeX XMLCite \textit{C. Ni} et al., Quant. Finance 22, No. 9, 1595--1626 (2022; Zbl 1505.91354) Full Text: DOI arXiv
Dang, D. M.; Forsyth, P. A. Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach. (English) Zbl 1348.91250 Eur. J. Oper. Res. 250, No. 3, 827-841 (2016). MSC: 91G10 35Q91 49L20 60H30 62P05 93E20 PDFBibTeX XMLCite \textit{D. M. Dang} and \textit{P. A. Forsyth}, Eur. J. Oper. Res. 250, No. 3, 827--841 (2016; Zbl 1348.91250) Full Text: DOI
Dang, Duy-Minh; Forsyth, Peter A.; Li, Yuying Convergence of the embedded mean-variance optimal points with discrete sampling. (English) Zbl 1408.65039 Numer. Math. 132, No. 2, 271-302 (2016). MSC: 65K10 91G60 93C20 93E20 PDFBibTeX XMLCite \textit{D.-M. Dang} et al., Numer. Math. 132, No. 2, 271--302 (2016; Zbl 1408.65039) Full Text: DOI
Dang, Duy-Minh; Forsyth, Peter A. Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach. (English) Zbl 1284.91569 Numer. Methods Partial Differ. Equations 30, No. 2, 664-698 (2014). MSC: 91G60 91G10 60J75 45K05 65K10 PDFBibTeX XMLCite \textit{D.-M. Dang} and \textit{P. A. Forsyth}, Numer. Methods Partial Differ. Equations 30, No. 2, 664--698 (2014; Zbl 1284.91569) Full Text: DOI
Wang, J.; Forsyth, P. A. Comparison of mean variance like strategies for optimal asset allocation problems. (English) Zbl 1282.91312 Int. J. Theor. Appl. Finance 15, No. 2, Article ID 1250014, 32 p. (2012). MSC: 91G10 91G60 65N06 PDFBibTeX XMLCite \textit{J. Wang} and \textit{P. A. Forsyth}, Int. J. Theor. Appl. Finance 15, No. 2, Article ID 1250014, 32 p. (2012; Zbl 1282.91312) Full Text: DOI
Wang, J.; Forsyth, P. A. Continuous time mean variance asset allocation: a time-consistent strategy. (English) Zbl 1208.91139 Eur. J. Oper. Res. 209, No. 2, 184-201 (2011). MSC: 91G10 91G60 PDFBibTeX XMLCite \textit{J. Wang} and \textit{P. A. Forsyth}, Eur. J. Oper. Res. 209, No. 2, 184--201 (2011; Zbl 1208.91139) Full Text: DOI
Forsyth, Peter A. A Hamilton-Jacobi-Bellman approach to optimal trade execution. (English) Zbl 1231.91492 Appl. Numer. Math. 61, No. 2, 241-265 (2011). MSC: 91G80 49L20 49K45 PDFBibTeX XMLCite \textit{P. A. Forsyth}, Appl. Numer. Math. 61, No. 2, 241--265 (2011; Zbl 1231.91492) Full Text: DOI
Wang, J.; Forsyth, P. A. Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation. (English) Zbl 1182.91161 J. Econ. Dyn. Control 34, No. 2, 207-230 (2010). MSC: 91G10 49L25 49N10 93E20 91G60 65N06 PDFBibTeX XMLCite \textit{J. Wang} and \textit{P. A. Forsyth}, J. Econ. Dyn. Control 34, No. 2, 207--230 (2010; Zbl 1182.91161) Full Text: DOI