基于多期随机优化的个人财务计划模型  

Personal Financial Planning Model Based on Multi-Stage Stochastic Optimization

作　　者：金秀[1] 冯英洁[1] 黄小原[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《东北大学学报（自然科学版）》2005年第9期911-914,共4页Journal of Northeastern University(Natural Science)

基　　金：辽宁省科学技术计划项目(2004401015)

摘　　要：根据个人储蓄、消费特点,建立了个人财务计划多期随机优化模型.进一步以我国经济环境为依托,考虑未来各种资产收益、工资变动以及未来支付的不确定性,进行了仿真计算.通过构建情景树来反映未来经济环境,利用向量自回归模型对工资收入、物价水平以及未来各种资产收益进行估计,并根据个人消费偏好、退休计划不同,在保证基本消费、教育支出和实现长期目标在退休之后有保障的收入,同时满足个人的消费欲望的情况下,给出了个人最优储蓄、消费和贷款策略.A multi-stage stochastic optimization model was developed for personal financial planning, of which the prospective returns from various assets, wage changes and the uncertainties of payment are taken into account, according to the characteristics of individual savings and consumption. The model was simulated in reference to our country＇s economic developmental conditions which was reflected by constructing scenario trees. The wage income, prices level and various returns from assets were estimated by use of vector self-regression models. According to different personal consumption preference and pension plans, the optimal personal savings, consumption and loan strategies were given to meet the needs of basic consumption, education payment and long-term objectives so as to secure the personal income after retirement and then satisfy personal desires for consumption.

关 键 词：财务计划 随机优化 储蓄策略 个人消费偏好 情景生成 

分 类 号：F830[经济管理—金融学]