Mortgage Loan Portfolio Optimization Using Multi Stage Stochastic Programming | Kourosh M. Rasmussen, Jens Clausen
| | 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. | | Keywords | Loan Portfolio Optimization, Stochastic Programming | | Type | Technical report | | Year | 2004 | | Publisher | Informatics and Mathematical Modelling, Technical University of Denmark, DTU | | Address | Richard Petersens Plads, Building 321, DK-2800 Kgs. Lyngby | | Electronic version(s) | [pdf] | | BibTeX data | [bibtex] | | IMM Group(s) | Operations Research |
|