Long-term individual financial planning under stochastic dominance constraints
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Long-term individual financial planning under stochastic dominance constraints
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Long-term individual financial planning under stochastic dominance constraints
Popis výsledku anglicky
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.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
10103 - Statistics and probability
Návaznosti výsledku
Projekt
<a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Ostatní
Rok uplatnění
2020
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Annals of Operations Research
ISSN
0254-5330
e-ISSN
—
Svazek periodika
292
Číslo periodika v rámci svazku
2
Stát vydavatele periodika
NL - Nizozemsko
Počet stran výsledku
28
Strana od-do
973-1000
Kód UT WoS článku
000563054500016
EID výsledku v databázi Scopus
2-s2.0-85065497746