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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&apos; 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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • 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

  • 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