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

Moriggia, Vittorio; Consigli, Giorgio; Iaquinta, Gaetano

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.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10446/27699

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