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Heterogeneous Optimality of Lifetime Consumption and Asset Allocation: Growing Old in Sweden
Mälardalen University, School of Education, Culture and Communication.
2017 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This thesis covers a utility optimizing model designed and calibrated for agents of the Swedish economy. The main ingredient providing for this specific country is the modeling of the pension accumulation and pension benefits, which closely mimics the Swedish system. This characteristic is important since it measures one of the only two diversities between genders, that is, the income. The second characteristic is the survival probability. Except for these differences in national statistics, men and women are equal. The reminding model parameters are realistically set estimates from the surrounding economy. When using the model, firstly a baseline agent representing the entire labor force is under the microscope for evaluating the model itself. Next, one representative woman and one representative man from the private and public sectors respectively, composes a set of four samples for investigation of heterogeneity in optimality. The optimum level of consumption and risk-proportion of liquid wealth are solved by maximizing an Epstein-Zin utility function using the method of dynamic programming. The results suggests that both genders benefit from adapting the customized solutions to the problem.

 

Place, publisher, year, edition, pages
2017. , 108 p.
Keyword [en]
Finite Horizon Stochastic Dynamic Programming, Swedish Pensions, Law of Large Numbers, Spline Interpolation, Dynamic Programming Practical Manual
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-36119OAI: oai:DiVA.org:mdh-36119DiVA: diva2:1127753
Subject / course
Mathematics/Applied Mathematics
Supervisors
Examiners
Available from: 2017-08-25 Created: 2017-07-19 Last updated: 2017-09-26Bibliographically approved

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Radeschnig, Jessica
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf