Financial planning for young households
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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.
Originalsprog | Engelsk |
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Tidsskrift | Annals of Operations Research |
Vol/bind | 205 |
Udgave nummer | 1 |
Sider (fra-til) | 55-76 |
Antal sider | 22 |
ISSN | 0254-5330 |
DOI | |
Status | Udgivet - 2013 |
ID: 43559096