Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark

DOI10.1007/s10287-013-0170-xzbMath1307.90097OpenAlexW2027393211MaRDI QIDQ744251

Claus A. Madsen, Rolf Poulsen, Kourosh Marjani Rasmussen

Publication date: 6 October 2014

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-013-0170-x

Mathematics Subject Classification ID

Stochastic programming (90C15) Case-oriented studies in operations research (90B90) Credit risk (91G40)

Cites Work

• The affine arbitrage-free class of Nelson-Siegel term structure models
• A two-factor, stochastic programming model of Danish mortgage-backed securities
• Mortgage loan portfolio optimization using multi-stage stochastic programming
• Financial planning for Young households
• Coherent Measures of Risk

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