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Author
Feldman Łukasz (Wrocław University of Economics, Poland), Pietrzyk Radosław (Wrocław University of Economics, Poland), Rokita Paweł (Wrocław University of Economics, Poland)
Title
Multiobjective Optimization of Financing Household Goals with Multiple Investment Programs
Source
Statistics in Transition, 2014, vol. 15, nr 2, s. 243-268, rys., tab., bibliogr. 27 poz.
Keyword
Budżet gospodarstwa domowego, Optymalizacja wielokryterialna
Budgets of households, Multiple criteria optimization
Note
Materiały z konferencji Multivariate Statistical Analysis 2013, Łódź.
The research project was financed by The National Science Centre (NCN) grant, on the basis of the decision no. DEC-2012/05/B/HS4/04081.
summ.
Abstract
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)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of the Wroclaw University of Economics
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Bibliography
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ISSN
1234-7655
Language
eng
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