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Mortgage loan portfolio optimization using multi-stage stochastic programming

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Listed author(s):
  • Rasmussen, Kourosh Marjani
  • Clausen, Jens
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    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(06)00039-X
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 31 (2007)
    Issue (Month): 3 (March)
    Pages: 742-766

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    Handle: RePEc:eee:dyncon:v:31:y:2007:i:3:p:742-766
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    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.
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    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.

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