A model for portfolio management with mortgage-backed securities

DOI10.1007/BF02025090zbMath0783.90014OpenAlexW2022360658MaRDI QIDQ1309882

Stavros A. Zenios

Publication date: 6 January 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02025090

zbMATH Keywords

mortgage-backed securitieslarge-scale programsmanagement of large portfoliostwo-stage, multiperiod model

Mathematics Subject Classification ID

Related Items (13)

On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty ⋮ A moment-matching method to generate arbitrage-free scenarios ⋮ A stochastic programming model for funding single premium deferred annuities ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ Strategic asset allocation ⋮ The optimal portfolio problem with coherent risk measure constraints. ⋮ The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach ⋮ A two-stage stochastic integer programming approach as a mixture of branch-and-fix coordination and Benders decomposition schemes ⋮ Stochastic programming for funding mortgage pools ⋮ Mortgage loan portfolio optimization using multi-stage stochastic programming ⋮ Dynamic models for fixed-income portfolio management under uncertainty ⋮ Discretized reality and spurious profits in stochastic programming models for asset/liability management ⋮ Computational assessment of distributed decomposition methods for stochastic linear programs

Cites Work

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• Stochastic network optimization models for investment planning
• An iterative row-action method for interval convex programming
• Massively Parallel Algorithms for Singly Constrained Convex Programs
• Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
• A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems

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