Publications (5)
Making Leveraged Exchange-Traded Funds Work for your Portfolio
Peter Forsyth, Pieter van Staden, Yuying Li
We examine strategically incorporating broad stock market leveraged exchange-traded funds (LETFs) into investment portfolios. We demonstrate that easily understandable and implemen…
Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark
Pieter van Staden, Peter Forsyth, Yuying Li
Leveraged Exchange Traded Funds (LETFs), while extremely controversial in the literature, remain stubbornly popular with both institutional and retail investors in practice. While…
Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target
Chendi Ni, Yuying Li, Peter Forsyth +1
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic t…
Representation Learning for Dynamic Graphs: A Survey
Seyed Mehran Kazemi, Rishab Goel, Kshitij Jain +4
Graphs arise naturally in many real-world applications including social networks, recommender systems, ontologies, biology, and computational finance. Traditionally, machine learni…
Piecewise Constant Policy Approximations to Hamilton-Jacobi-Bellman Equations
Christoph Reisinger, Peter Forsyth
An advantageous feature of piecewise constant policy timestepping for Hamilton-Jacobi-Bellman (HJB) equations is that different linear approximation schemes, and indeed different m…