Pieter M. Van Staden

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark Quantitative Finance	2026-04-15	Paper
A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization Applied Mathematical Finance	2025-09-03	Paper
Across-time risk-aware strategies for outperforming a benchmark European Journal of Operational Research	2024-06-14	Paper
BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID International Journal of Theoretical and Applied Finance	2024-01-23	Paper
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach SIAM Journal on Financial Mathematics	2023-06-01	Paper
Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization International Journal of Theoretical and Applied Finance	2021-10-20	Paper
The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors European Journal of Operational Research	2021-06-03	Paper
On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies SIAM Journal on Financial Mathematics	2021-05-17	Paper
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? SIAM Journal on Financial Mathematics	2019-11-22	Paper
Time-consistent mean-variance portfolio optimization: a numerical impulse control approach Insurance Mathematics & Economics	2018-11-19	Paper

Research outcomes over time

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