Financial planning for Young households

DOI10.1007/S10479-012-1205-3MaRDI QIDQ2393342zbMATH OpenOpenAlexFDO

Authors Anne Marie B. Pedersen, Alex Weissensteiner, Rolf Poulsen

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

scenario treemortgagemulti-stage stochastic programmingasset-liability managementpensionvector auto-regression

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 852306 (Why is no real title available?)
• A heuristic for moment-matching scenario generation
• A two-factor, stochastic programming model of Danish mortgage-backed securities
• An ALM model for pension funds using integrated chance constraints
• Asset and liability modelling for participating policies with guarantees
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Forecasting the term structure of government bond yields
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Generating scenario trees for multistage decision problems
• Life-cycle asset allocation and consumption using stochastic linear programming
• Mortgage loan portfolio optimization using multi-stage stochastic programming
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Optimal housing, consumption, and investment decisions over the life cycle
• Scenario optimization asset and liability modelling for individual investors
• Stability analysis of portfolio management with conditional value-at-risk

Cited in

(9)

• Financial planning with fractional goals
• Optimal annuity portfolio under inflation risk
• A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
• Personalized goal-based investing via multi-stage stochastic goal programming
• Optimal investment for a retirement plan with deferred annuities
• Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark
• Banking behaviour after the lifecycle event of ``moving in together: an exploratory study of the role of marketing investments
• Real estate price estimation in French cities using geocoding and machine learning
• Sparse factor model based on trend filtering

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