Pieter M. van Staden

Publication Activity (10 Years)

Years Active: 2019-2024
Publications (10 Years): 5

Top Topics

Investment Decisions

Factor Analysis

Lagrangian Relaxation

Portfolio Optimization

Top Venues

SIAM J. Financial Math.

Eur. J. Oper. Res.

Publications

Pieter M. van Staden, Peter A. Forsyth, Yuying Li
Across-time risk-aware strategies for outperforming a benchmark. Eur. J. Oper. Res. 313 (2) (2024)
Pieter M. van Staden, Peter A. Forsyth, Yuying Li
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach. SIAM J. Financial Math. 14 (2) (2023)
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies. SIAM J. Financial Math. 12 (2) (2021)
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. Eur. J. Oper. Res. 289 (2) (2021)
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? SIAM J. Financial Math. 10 (3) (2019)