Asset-liability management and goal-based investing for retail business
| Autor: | Giorgio Consigli, Massimo Di Tria |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Consumption (economics)
dynamic stochastic programming households finance asset-liability management goal-based investing life-cycle households finance Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie business.industry Liability dynamic stochastic programming General Medicine Investment (macroeconomics) goal-based investing Stochastic programming Goal-based investing Investment decisions Risk analysis (engineering) life-cycle asset-liability management Asset (economics) business Financial services |
| Popis: | The industry of online personal financial services is expected over the next years to absorb an increasing share of households and individuals' savings and investment decisions with a parallel expansion of tailored decision tools and underlying methodological developments. In this article we present a dynamic stochastic optimisation model formulated to tackle a long-term optimal wealth management problem-based explicitly on the introduction of consumption and investment goals with a terminal inflation-adjusted retirement target. By embedding a goal-based investing philosophy in a dynamic framework we provide a reference modelling approach for increasingly popular households asset-liability management services. In a discrete setting we show that a dynamic stochastic programming formulation will lead to a highly realistic representation and solution of an otherwise hardly manageable optimisation problem and it is consistent with computer-aided decision support tools' operational requirements. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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