Long-term individual financial planning under stochastic dominance constraints
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F20%3A10419109" target="_blank" >RIV/00216208:11320/20:10419109 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=p3_6kaXhkT" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=p3_6kaXhkT</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10479-019-03253-8" target="_blank" >10.1007/s10479-019-03253-8</a>
Alternative languages
Result language
angličtina
Original language name
Long-term individual financial planning under stochastic dominance constraints
Original language description
We analyse an optimal goal-based households' asset-liability management problem characterised by a real estate target and a retirement goal over a long-term planning horizon. The problem is formulated as a multistage stochastic program and we evaluate the impact ofsecond order stochastic dominance(SSD) constraints on different specifications of a family objective function and with respect to three alternative benchmark policies. We define astochastic linear programin which the SSD constraints are based on a double stochastic matrix, whose effectiveness in determining the decision maker strategies is studied in a case study developed in the second part of the article. We show that depending on the adopted benchmark policy, SSD constraints even if binding far on the planning horizon, may influence the root node investment decision and affect both the investment and the liability optimal policies. Based on an extended computational study we analyse under which conditions and problem formulation, an SSD condition may also implyfirst order stochastic dominance(FSD). Finally we analyse the relationship between the specification of a minimum shortfall objective with respect to the goals and the introduced SSD constraints at the terminal horizon.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Annals of Operations Research
ISSN
0254-5330
e-ISSN
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Volume of the periodical
292
Issue of the periodical within the volume
2
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
28
Pages from-to
973-1000
UT code for WoS article
000563054500016
EID of the result in the Scopus database
2-s2.0-85065497746