Peter Forsyth

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

Emeritus Professor

200 University Avenue West

Waterloo, ON

Canada

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 41,294

SSRN RANKINGS

Top 41,294

in Total Papers Downloads

1,240

SSRN CITATIONS
Rank 31,930

SSRN RANKINGS

Top 31,930

in Total Papers Citations

17

CROSSREF CITATIONS

8

Scholarly Papers (15)

1.

Target Wealth: The Evolution of Target Date Funds

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

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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 158 (214,538)
Citation 5

Abstract:

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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
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

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 97 (308,716)

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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 77 (355,621)
Citation 3

Abstract:

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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 76 (358,300)
Citation 3

Abstract:

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

7.

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

8.

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 42 (473,905)

Abstract:

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stochastic benchmark, portfolio allocation, neural network

9.

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

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

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

10.

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 20 (592,748)

Abstract:

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

11.

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 20 (592,748)
Citation 1

Abstract:

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

12.

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 19 (599,522)
Citation 1

Abstract:

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

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 10 (662,255)

Abstract:

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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 9 (669,532)
Citation 1

Abstract:

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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 (736,413)
Citation 3
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Abstract:

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