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2014 | 15 | nr 2 | 243--268
Tytuł artykułu

Multiobjective Optimization of Financing Household Goals with Multiple Investment Programs

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This article proposes a technique of facilitating life-long financial planning for a household by finding the optimal match between systematic investment products and multiple financial goals of different realization terms and magnitudes. This is a multi-criteria optimization. One of the objectives is compliance between the expected term structure of cumulated net cash flow throughout the life cycle of the household with its life-length risk aversion and bequest motive. The second is financial liquidity in all periods under expected values of all stochastic factors. The third is minimization of net cash flow volatility. The fourth is minimization of costs of the investment plan combination. The result is a set of systematic-investment programs with accompanying information which programs are destined to cover which financial goal. Payoffs of one program may be used to cover more than one goal and the order may be other than sequential. An original goal function, constructed to suit conditions and assumptions of the proposed household financial plan model, is presented as an optimization procedure. (original abstract)
Rocznik
Tom
15
Numer
Strony
243--268
Opis fizyczny
Twórcy
  • Wrocław University of Economics, Poland
  • Wrocław University of Economics, Poland
  • Wrocław University of Economics, Poland
Bibliografia
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  • <http://www.actuaries.org/AFIR/Colloquia/Boston/Dus_Maurer_Mitchell.pdf > [Accessed: 27 March 2013].
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  • FELDMAN, L., PIETRZYK, R., ROKITA, P., (2014b). General strategies to meet household pension goal versus longevity risk, in: Lisowski J., Łyskawa K. (Eds.), Insurance in view of longevity/old age risk. Poznań University of Economics Publishing House, pp. 37-49.
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  • HUANG, H., MILEVSKY, M. A., (2011). Longevity Risk Aversion and Tax- Efficient Withdrawals. [online] SSRN. Available at: <http://ssrn.com/abstract=1961698> [Accessed: 22 March 2012].
  • HUANG, H., MILEVSKY, M. A., SALISBURY, T. S., (2012). Optimal Retirement Consumption with a Stochastic Force of Mortality. Insurance: Mathematics and Economics, 51(2), pp. 282- 291.
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Typ dokumentu
Bibliografia
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Identyfikator YADDA
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