Financial planning for young households
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Financial planning for young households. / Pedersen, Anne Marie Boiden; Weissensteiner, Alex; Poulsen, Rolf.
I: Annals of Operations Research, Bind 205, Nr. 1, 2013, s. 55-76.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Financial planning for young households
AU - Pedersen, Anne Marie Boiden
AU - Weissensteiner, Alex
AU - Poulsen, Rolf
PY - 2013
Y1 - 2013
N2 - We analyze the financial planning problems of young households whose main decisions are how to finance the purchase of a house (liabilities) and how to allocate investments in pension savings schemes (assets). The problems are solved using a multi-stage stochastic programming model where the uncertainty is described by a scenario tree generated from a vector auto-regressive process for equity returns and interest rate evolution. We find strong evidence of the importance of taking into account the multi-stage nature of the problem, as well as the need to consider the asset and liability sides jointly.
AB - We analyze the financial planning problems of young households whose main decisions are how to finance the purchase of a house (liabilities) and how to allocate investments in pension savings schemes (assets). The problems are solved using a multi-stage stochastic programming model where the uncertainty is described by a scenario tree generated from a vector auto-regressive process for equity returns and interest rate evolution. We find strong evidence of the importance of taking into account the multi-stage nature of the problem, as well as the need to consider the asset and liability sides jointly.
U2 - 10.1007/s10479-012-1205-3
DO - 10.1007/s10479-012-1205-3
M3 - Journal article
VL - 205
SP - 55
EP - 76
JO - Annals of Operations Research
JF - Annals of Operations Research
SN - 0254-5330
IS - 1
ER -
ID: 43559096