Financial planning for Young households

DOI10.1007/S10479-012-1205-3zbMath1269.91078OpenAlexW2076041374MaRDI QIDQ2393342

Alex Weissensteiner, Rolf Poulsen, Anne Marie B. Pedersen

Publication date: 7 August 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-012-1205-3

zbMATH Keywords

asset-liability managementpensionscenario treemortgagemulti-stage stochastic programmingvector auto-regression

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (7)

A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry ⋮ Real estate price estimation in French cities using geocoding and machine learning ⋮ Optimal investment for a retirement plan with deferred annuities ⋮ Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark ⋮ Sparse factor model based on trend filtering ⋮ Personalized goal-based investing via multi-stage stochastic goal programming ⋮ Optimal annuity portfolio under inflation risk

Cites Work

• Unnamed Item
• Unnamed Item
• Forecasting the term structure of government bond yields
• Generating Scenario Trees for Multistage Decision Problems
• A two-factor, stochastic programming model of Danish mortgage-backed securities
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Mortgage loan portfolio optimization using multi-stage stochastic programming
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• A heuristic for moment-matching scenario generation
• An ALM model for pension funds using integrated chance constraints
• Asset and liability modelling for participating policies with guarantees
• Scenario optimization asset and liability modelling for individual investors
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Life-cycle asset allocation and consumption using stochastic linear programming
• Optimal Housing, Consumption, and Investment Decisions over the Life Cycle
• Stability analysis of portfolio management with conditional value-at-risk

This page was built for publication: Financial planning for Young households