Optimal Stochastic Programming-Based Personal Financial Planning with Intermediate and Long-Term Goals

Vittorio Moriggia, Giorgio Consigli and Gaetano Iaquinta
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Vittorio Moriggia: Dept. of Mathematics, Statistics, Informatics and Applications University of Bergamo, via dei Caniana 2 BERGAMO, Italy
Giorgio Consigli: Dept. of Mathematics, Statistics, Informatics and Applications University of Bergamo, via dei Caniana 2 BERGAMO, Italy

Chapter 3 in Stochastic Programming:Applications in Finance, Energy, Planning and Logistics, 2013, pp 43-68 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe present an asset-liability management (ALM) model for individuals facing a long term allocation problem over a diversified investment universe including mutual and pension funds as well as unit linked contracts with corporate, fixed income or equity exposure. Inflation-adjusted living costs and investment or consumption targets over the planning horizon lead to the definition of a comprehensive decision support tool, whose key building blocks are discussed with reference to a case-study. A structured stochastic model for long-term scenario generation is also briefly analyzed.

Keywords: Stochastic Programming; Optimization with Scenarios; Finance; Energy; Production and Logistics Applications (search for similar items in EconPapers)
Date: 2013
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