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

In: Stochastic Programming Applications in Finance, Energy, Planning and Logistics

Author

Listed:
  • Vittorio Moriggia

    (Dept. of Mathematics, Statistics, Informatics and Applications University of Bergamo, via dei Caniana 2 BERGAMO, Italy)

  • Giorgio Consigli

    (Dept. of Mathematics, Statistics, Informatics and Applications University of Bergamo, via dei Caniana 2 BERGAMO, Italy)

  • Gaetano Iaquinta

Abstract

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.

Suggested Citation

  • Vittorio Moriggia & Giorgio Consigli & Gaetano Iaquinta, 2013. "Optimal Stochastic Programming-Based Personal Financial Planning with Intermediate and Long-Term Goals," World Scientific Book Chapters, in: Horand I Gassmann & William T Ziemba (ed.), Stochastic Programming Applications in Finance, Energy, Planning and Logistics, chapter 3, pages 43-68, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814407519_0003
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    Cited by:

    1. Sebastiano Vitali & Ruth Domínguez & Vittorio Moriggia, 2021. "Comparing stage-scenario with nodal formulation for multistage stochastic problems," 4OR, Springer, vol. 19(4), pages 613-631, December.

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