IDEAS home Printed from https://ideas.repec.org/a/eee/dyncon/v31y2007i3p742-766.html
   My bibliography  Save this article

Mortgage loan portfolio optimization using multi-stage stochastic programming

Author

Listed:
  • Rasmussen, Kourosh Marjani
  • Clausen, Jens

Abstract

No abstract is available for this item.

Suggested Citation

  • Rasmussen, Kourosh Marjani & Clausen, Jens, 2007. "Mortgage loan portfolio optimization using multi-stage stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 742-766, March.
    • Handle: RePEc:eee:dyncon:v:31:y:2007:i:3:p:742-766
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(06)00039-X
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. S. Nielsen, Soren & Poulsen, Rolf, 2004. "A two-factor, stochastic programming model of Danish mortgage-backed securities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1267-1289, April.
    2. Zenios, Stavros A. & Holmer, Martin R. & McKendall, Raymond & Vassiadou-Zeniou, Christiana, 1998. "Dynamic models for fixed-income portfolio management under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 22(10), pages 1517-1541, August.
    3. Vassiadou-Zeniou, Christiana & Zenios, Stavros A., 1996. "Robust optimization models for managing callable bond portfolios," European Journal of Operational Research, Elsevier, vol. 91(2), pages 264-273, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alois Geyer & Michael Hanke & Alex Weissensteiner, 2009. "A stochastic programming approach for multi-period portfolio optimization," Computational Management Science, Springer, vol. 6(2), pages 187-208, May.
    2. Weissensteiner, Alex, 2010. "Using the Black-Derman-Toy interest rate model for portfolio optimization," European Journal of Operational Research, Elsevier, vol. 202(1), pages 175-181, April.
    3. Poulsen, Rolf & Rasmussen, Kourosh Marjani, 2008. "Financial Giffen goods: Examples and counterexamples," European Journal of Operational Research, Elsevier, vol. 191(2), pages 572-576, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:31:y:2007:i:3:p:742-766. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jedc .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.