Mortgage loan portfolio optimization using multi-stage stochastic programming

DOI10.1016/j.jedc.2006.01.004zbMath1163.91420OpenAlexW1994817961MaRDI QIDQ1017001

Kourosh Marjani Rasmussen, Jens Clausen

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://orbit.dtu.dk/en/publications/60802150-5dab-460f-862c-dfc94468e023

zbMATH Keywords

stochastic programmingrisk managementscenario reductionmortgage backed securities

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Portfolio theory (91G10)

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Uses Software

• MINLP

Cites Work

• Unnamed Item
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• Scenario reduction in stochastic programming
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• Scenario reduction algorithms in stochastic programming
• Asset/liability management under uncertainty for fixed-income securities
• Solving multistage stochastic network programs on massively prallel computers
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Introduction to Stochastic Programming

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