Financial planning for young households

Anne Marie Boiden Pedersen; Alex Weissensteiner; Rolf Poulsen

doi:10.1007/s10479-012-1205-3

Financial planning for young households

Anne Marie Boiden Pedersen, Alex Weissensteiner, Rolf Poulsen

Institut for Matematiske Fag

9 Citationer (Scopus)

Abstract

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
Tidsskrift	Annals of Operations Research
Vol/bind	205
Udgave nummer	1
Sider (fra-til)	55-76
Antal sider	22
ISSN	0254-5330
DOI	https://doi.org/10.1007/s10479-012-1205-3
Status	Udgivet - maj 2013

Adgang til dokumentet

10.1007/s10479-012-1205-3

Citationsformater

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