Office: Hagey Hall 383C
Phone: 519-888-4567 x46518
My research focuses on derivative securities, financial risk management and asset allocation. Recently I have concentrated primarily on allocation strategies for retirement savings.
Education and certifications
- Bachelor of Arts (Toronto)
- Master of Arts (Toronto)
- PhD (Toronto)
- P. A. Forsyth and K. R. Vetzal, 2017, "Robust Asset Allocation for Long-Term Target-Based Investing", International Journal of Theoretical and Applied Finance 20, DOI: 10.1142/S0219024917500170.
- D.-M. Dang, P. A. Forsyth and K. R. Vetzal, 2017, "The 4% Strategy Revisited: A Pre-Commitment Optimal Mean-Variance Approach to Wealth Management", Quantitative Finance 17, 335-351.
- A. V. S. Douglas, A. G. Huang and K. R. Vetzal, 2016, "Cash Flow Volatility and Corporate Bond Yield Spreads", Review of Quantitative Finance and Accounting 46, 417-458.
- P. A. Forsyth and K. R. Vetzal, 2014, "An Optimal Stochastic Control Framework for Determining the Cost of Hedging of Variable Annuities", Journal of Economic Dynamics & Control 44, 29-53.
- S. Bandyopadhyay, R. Jha, D. B. Kennedy, K. R. Vetzal and T. S. Wirjanto, 2013, "Low for Long and Risk-Taking in the Canadian Financial Services Industry", research monograph prepared for the Global Risk Institute in Financial Services, 151 pages.