Optimal Pension Saving with Risk Aversion

Specialeforsvar: Josefine Louise Baumgarten

Titel: Optimal Pension Saving with Risk Aversion
Risk-Averse Savings Allocation in a Financial Market: A Stochastic Multi-Stage Linear Programming Optimization with Time-consistency Considerations

Abstract: This study concerns a pension savings allocation problem from the viewpoint of a private costumer, aiming to minimize the risk while meeting a requirement on minimal expected final return. The problem is modeled with a linear multi-stage stochastic program. A theoretical introduction is given, including theory on risk measures and time consistency, followed by the presentation of the optimization problem. This is followed by a computational study that integrates the theoretical framework. Numerical solutions are assessed where different variations of the problem is compared, and solutions resulting from the two simulation techniques Monte Carlo and quasi-Monte Carlo are compared.

Vejleder: Giovanni Pantuso
Censor:    Konstantin Pavlikov, SDU