@TECHREPORT\{IMM2004-03565,
    author       = "K. M. Rasmussen and J. Clausen",
    title        = "Mortgage Loan Portfolio Optimization Using Multi Stage Stochastic Programming",
    year         = "2004",
    keywords     = "Loan Portfolio Optimization, Stochastic Programming",
    number       = "",
    series       = "",
    institution  = "Informatics and Mathematical Modelling, Technical University of Denmark, {DTU}",
    address      = "Richard Petersens Plads, Building 321, {DK-}2800 Kgs. Lyngby",
    type         = "",
    url          = "http://www2.compute.dtu.dk/pubdb/pubs/3565-full.html",
    abstract     = "We consider the dynamics of the Danish mortgage loan system and propose several models to re ect the choices of a mortgagor as well as his attitude towards risk. The models are formulated as multi stage stochastic integer programs, which are difficult to solve for more than 10 stages. Scenario reduction and {LP} relaxation are used to obtain near optimal solutions for large problem instances. Our results show that the standard Danish mortgagor should hold a more diversified portfolio of mortgage loans, and that he should rebalance the portfolio more frequently than current practice."
}