Mortgage loan portfolio optimization using multi-stage stochastic programming
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Volume (Year): 31 (2007)
Issue (Month): 3 (March)
Pages: 742-766
| 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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References listed on IDEAS
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- 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.
- 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.
- 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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