Peter Forsyth

University of Waterloo - David R. Cheriton School of Computer Science

Emeritus Professor

200 University Avenue West

Waterloo, ON

Canada

  • University of Waterloo - David R. Cheriton School of Computer Science

SCHOLARLY PAPERS

10

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Scholarly Papers (10)

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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 429 (65,642)

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Retirement savings, target date funds, optimal asset allocation

2.

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 123 (224,713)

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

3.

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 109 (245,505)

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

4.

Time-Consistent Mean-Variance Portfolio Optimization: A Numerical Impulse Control Approach

Number of pages: 36 Posted: 27 Nov 2017 Last Revised: 29 Aug 2018
Pieter Van Staden, Duy-Minh Dang and Peter Forsyth
University of Queensland - School of Mathematics and Physics, University of Queensland - School of Mathematics and Physics and University of Waterloo - David R. Cheriton School of Computer Science
Downloads 85 (288,998)

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Asset Allocation, Constrained Optimal Control, Time-Consistent, Pre-Commitment, Impulse Control

5.

A Data Driven Neural Network Approach to Optimal Asset Allocation for Target Based Defined Contribution Pension Plans

Number of pages: 27 Posted: 21 Jun 2018
Yuying Li and Peter Forsyth
University of Waterloo and University of Waterloo - David R. Cheriton School of Computer Science
Downloads 54 (368,564)

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DC plan asset allocation, data-driven, neural network, target based objective

6.

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 40 (416,748)

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

7.

Multi-Period Mean CVAR Asset Allocation: Is it Advantageous to be Time Consistent?

Number of pages: 23 Posted: 14 Mar 2019
Peter Forsyth
University of Waterloo - David R. Cheriton School of Computer Science
Downloads 29 (463,509)

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multi-period mean-CVAR, time consistent, pre-commitment, asset allocation

8.

Strategic Interactions and Uncertainty in Decisions to Curb Greenhouse Gas Emissions

Number of pages: 47 Posted: 18 Jun 2018
Margaret C. Insley, Tracy Snoddon and Peter Forsyth
University of Waterloo - Department of Economics, Wilfrid Laurier University and University of Waterloo - David R. Cheriton School of Computer Science
Downloads 12 (558,467)

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Climate Change, Differential Stackelberg Game, Uncertainty, HJB Equation

9.

Climate Games: Who's on First? What's on Second?

Number of pages: 45 Posted: 21 Jun 2018 Last Revised: 15 Feb 2019
Margaret C. Insley and Peter Forsyth
University of Waterloo - Department of Economics and University of Waterloo - David R. Cheriton School of Computer Science
Downloads 6 (595,162)

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Climate Change; Stackelberg Game; Uncertainty; Leader–Leader Game; Interleaved Game

10.

ε-Monotone Fourier Methods for Optimal Stochastic Control in Finance

Journal of Computational Finance, Vol. 22, No. 4, 2019
Number of pages: 48 Posted: 26 Feb 2019
Peter Forsyth and George Labahn
University of Waterloo - David R. Cheriton School of Computer Science and University of Waterloo - David R. Cheriton School of Computer Science
Downloads 1 (638,107)
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Abstract:

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monotonicity, Fourier methods, discrete comparison, optimal stochastic control, finance