We 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.
Optimal Stochastic Programming-Based Personal Financial Planning with Intermediate and Long Term Goals [book chapter - capitolo di libro]. Retrieved from http://hdl.handle.net/10446/27699
Titolo: | Optimal Stochastic Programming-Based Personal Financial Planning with Intermediate and Long Term Goals |
Tipologia specifica: | book chapter - capitolo di libro |
Tutti gli autori: | Moriggia, Vittorio; Consigli, Giorgio; Iaquinta, Gaetano |
Data di pubblicazione: | 2013 |
Abstract (eng): | We 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. |
Nelle collezioni: | 1.2.01 Contributi in volume (Capitoli o Saggi) - Book Chapters/Essays |
File allegato/i alla scheda:
File | Descrizione | Tipologia | Licenza | |
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2013GassmannZiembaBook.pdf | cover/index - copertina/indice | Licenza default Aisberg | Open AccessVisualizza/Apri |