@MASTERSTHESIS\{IMM2006-04713,
    author       = "S. Sukhodolska",
    title        = "Integrated Mortgage and Pension Portfolio Management for Households",
    year         = "2006",
    school       = "Informatics and Mathematical Modelling, Technical University of Denmark, {DTU}",
    address      = "Richard Petersens Plads, Building 321, {DK-}2800 Kgs. Lyngby",
    type         = "",
    note         = "Supervised by Prof. Jens Clausen and PhD. Kourosh Marjani Rasmussen, {IMM}.",
    url          = "http://www2.compute.dtu.dk/pubdb/pubs/4713-full.html",
    abstract     = "The varieties of financial services and innovation in financial products have an increasing impact on households across global and local markets. Individuals need to make personal finance decisions upon choices of pension, savings and pure investment plans. At the same time, they may need a mortgage portfolio to fund a real estate purchase domestically or overseas, as well as a personal scheme to supplement life-long consumption. These are essentially dynamic portfolio optimization problems. Much has been accomplished in solving these from the corporate perspective. In particular, one of the approaches is asset liability modeling - a key instrument used in the financial services industry. However, the research effort of similar problems from the household standpoint is rather new, hence close study by means of mathematical modeling and risk management methodology could prove lucrative.

The main goal of this research is to achieve a high level of integration between pension and mortgage portfolio problems typical to an average household that have traditionally been solved separately. Such integration should yield portfolio strategies that perform effectively in terms of household objectives and are highly robust in the ever-changing markets. Hence, the desired model should optimize household utility whilst managing the risk exposure and fulfilling policy requirements."
}