Search Results - van Staden, Pieter M.

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  1. 1
    Time-consistent mean–variance portfolio optimization: A numerical impulse control approach

    Time-consistent mean–variance portfolio optimization: A numerical impulse control approach by Van Staden, Pieter M., Dang, Duy-Minh, Forsyth, Peter A.

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  2. 2
    Across-time risk-aware strategies for outperforming a benchmark

    Across-time risk-aware strategies for outperforming a benchmark by van Staden, Pieter M., Forsyth, Peter A., Li, Yuying

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  3. 3
    The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors

    The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors by van Staden, Pieter M., Dang, Duy-Minh, Forsyth, Peter A.

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  4. 4
    BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID

    BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID by FORSYTH, PETER A., VAN STADEN, PIETER M., LI, YUYING

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  5. 5
    PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION

    PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION by VAN STADEN, PIETER M., DANG, DUY-MINH, FORSYTH, PETER A.

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  6. 6
    A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization

    A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization by van Staden, Pieter M., Forsyth, Peter A., Li, Yuying

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  7. 7
    A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming

    A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming by van Staden, Pieter M, syth, Peter A, Li, Yuying

    Published in arXiv.org
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