Kenneth R. Vetzal

University of Waterloo

200 University Avenue West

Waterloo, Ontario N2L 3G1 N2L 3G1

Canada

  • University of Waterloo

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    • Tel: 519-885-1211
    • Fax: 519-888-7562
SCHOLARLY PAPERS

7

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1,128

SSRN CITATIONS
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Top 48,011

in Total Papers Citations

9

CROSSREF CITATIONS

4

Scholarly Papers (7)

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1.

Target Wealth: The Evolution of Target Date Funds

Number of pages: 16 Posted: 06 Jun 2017
Peter Forsyth, Kenneth R. Vetzal and Graham Westmacott
University of Waterloo - David R. Cheriton School of Computer Science, University of Waterloo and PWL Capital
Downloads 488 (66,516)

Abstract:

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Retirement savings, target date funds, optimal asset allocation

2.

Cash Flow Volatility and Corporate Bond Yield Spreads

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 39 Posted: 23 Sep 2012 Last Revised: 21 Jan 2013
Alan V. S. Douglas, Alan Guoming Huang and Kenneth R. Vetzal
University of Waterloo - School of Accounting and Finance, University of Waterloo and University of Waterloo
Downloads 259 (136,185)
Citation 2

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Corporate bond yield spreads, cash flow volatility, equity return volatility, credit ratings, regime-switching

3.

Optimal Asset Allocation for Retirement Savings: Deterministic vs. Time Consistent Adaptive Strategies

Number of pages: 38 Posted: 26 Jun 2017 Last Revised: 26 Dec 2018
Peter Forsyth and Kenneth R. Vetzal
University of Waterloo - David R. Cheriton School of Computer Science and University of Waterloo
Downloads 158 (214,538)
Citation 5

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mean-variance, dynamic asset allocation, jump diffusion, resampled backtests, deterministic strategy, adaptive strategy

4.

Management of Portfolio Depletion Risk Through Optimal Life Cycle Asset Allocation

Number of pages: 29 Posted: 30 May 2018 Last Revised: 19 Dec 2018
Peter Forsyth, Kenneth R. Vetzal and Graham Westmacott
University of Waterloo - David R. Cheriton School of Computer Science, University of Waterloo and PWL Capital
Downloads 142 (234,085)
Citation 5

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withdrawal risk, life cycle asset allocation, optimal control, decumulation

5.

Defined Contribution Pension Plans: Who Has Seen the Risk?

Number of pages: 30 Posted: 14 Mar 2019
Peter Forsyth and Kenneth R. Vetzal
University of Waterloo - David R. Cheriton School of Computer Science and University of Waterloo
Downloads 58 (412,981)

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defined contribution plan, probability of shortfall, quadratic shortfall, dynamic asset allocation, resampled backtests

6.

Optimal Asset Allocation for DC Pension Decumulation with a Variable Spending Rule

Number of pages: 23 Posted: 13 Dec 2019
Peter Forsyth, Kenneth R. Vetzal and Graham Westmacott
University of Waterloo - David R. Cheriton School of Computer Science, University of Waterloo and PWL Capital
Downloads 23 (573,144)
Citation 1

Abstract:

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DC pension plans, decumulation, optimal control, HJB equation, annually recalculated virtual annuity

7.

Early Exercise Regions for Exotic Options

THE J. OF DERIVATIVES, Fall 1995
Posted: 20 Aug 1998
Ken Seng Tan and Kenneth R. Vetzal
University of Waterloo and University of Waterloo

Abstract:

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