Pieter M. van Staden

According to our database, Pieter M. van Staden authored at least 5 papers between 2019 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

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

Pieter M. van Staden, Peter A. Forsyth, Yuying Li

Eur. J. Oper. Res., March, 2024

2023

Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach.

Pieter M. van Staden, Peter A. Forsyth, Yuying Li

SIAM J. Financial Math., June, 2023

2021

On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies.

Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth

SIAM J. Financial Math., 2021

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

Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth

Eur. J. Oper. Res., 2021

2019

Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth

SIAM J. Financial Math., 2019