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

15

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Top 44,992

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1,506

SSRN CITATIONS
Rank 31,129

SSRN RANKINGS

Top 31,129

in Total Papers Citations

19

CROSSREF CITATIONS

8

Scholarly Papers (15)

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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 520 (77,497)

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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 186 (228,567)
Citation 5

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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 167 (250,587)
Citation 5

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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 107 (351,494)
Citation 1

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

5.

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

Number of pages: 26 Posted: 14 Mar 2019 Last Revised: 18 Jul 2019
Peter Forsyth
University of Waterloo - David R. Cheriton School of Computer Science
Downloads 104 (358,206)
Citation 3

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

6.

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 88 (398,228)
Citation 3

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

7.

Optimal Asset Allocation for Outperforming a Stochastic Benchmark Target

Number of pages: 33 Posted: 29 Jun 2020
Chendi Ni, Yuying Li, Peter Forsyth and Ray Carroll
University of Waterloo - David R Cheriton School of Computer Science, University of Waterloo, University of Waterloo - David R. Cheriton School of Computer Science and Neuberger Berman Breton Hill
Downloads 86 (403,736)

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stochastic benchmark, portfolio allocation, neural network

8.

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 66 (467,498)

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

9.

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 40 (581,041)
Citation 1

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

10.

Optimal Dynamic Asset Allocation for DC Plan Accumulation/Decumulation: Ambition-CVAR

Number of pages: 32 Posted: 16 Dec 2019
Peter Forsyth
University of Waterloo - David R. Cheriton School of Computer Science
Downloads 38 (591,698)
Citation 1

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optimal control, ambition-CVAR, asset allocation, DC plan, resampled backtests

11.

A Stochastic Control Approach to Defined Contribution Plan Decumulation: 'The Nastiest, Hardest Problem in Finance'

Number of pages: 30 Posted: 02 Sep 2020
Peter Forsyth
University of Waterloo - David R. Cheriton School of Computer Science
Downloads 32 (626,588)

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Optimal Control, DC Plan Decumulation, Variable Withdrawal, Expected Shortfall, Asset Allocation, Resampled Back-tests

12.

Strategic Interactions and Uncertainty in Decisions to Curb Greenhouse Gas Emissions

Number of pages: 59 Posted: 18 Jun 2018 Last Revised: 03 Oct 2019
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 32 (626,588)
Citation 1

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climate change, dynamic Stackelberg game, uncertainty, asymmetric players, HJB equation

13.

Two Stage Decumulation Strategies for DC Plan Investors: 'A Goal Properly Set Is Halfway Reached'

Number of pages: 28 Posted: 02 Nov 2020
Peter Forsyth
University of Waterloo - David R. Cheriton School of Computer Science
Downloads 29 (645,996)

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Optimal Control; DC Plan Decumulation; Variable Withdrawal; Tail Risk; Asset Allocation; Resampled Backtests

14.

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 10 (804,107)
Citation 1

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

15.

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 (910,161)
Citation 3
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Abstract:

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