Research Project 5

RP5. Individual Household Financial Planning in Europe (Igor Osmolovskiy)

Leading Partner: CSA. Supervisor: Prof. Michael Dempster, Managing Director

This project will involve the development of CSA's iALM system, based on its STOCHASTICS development system, in two directions. On the modelling side the research will investigate creating large scale iALM models in new European jurisdictions such as Germany, France and Finland. This will involve the creation of new tax, pension, insurance and asset class submodels requiring a variety of skills to be developed by the researcher with the support of CSA personnel. On the computational front the researcher will collaborate with WP5 (RP 11-13) personnel to speed up existing lifetime profile planning solutions to attain interactive speed and to provide workstation capability simultaneously to large numbers of concurrent individual household and financial advisor users.

Results

Deliverables

DELIVERABLE 2.4 on project 5 (I. Osmolovskiy, CSA): M A H Dempster, D. Kloppers, I. Osmolovskiy*, E. Medova and P. Ustinov (2015), "Life Cycle Goal Achievement or Portfolio Volatility Reduction?" [download]

Publications

Dempster, M.A.H., Kloppers, D., Medova, E., Osmolovskiy, I. & Ustinov, P. (2016), “Life cycle goal achievement or portfolio volatility reduction?”. Journal of Portfolio Management, Vol. 42, No.2, pp. 99-117. [download]

Final conference

Igor Osmolovskiy (CSA): Individual Household Financial Planning