کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099686 | 1377023 | 2007 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Mortgage loan portfolio optimization using multi-stage stochastic programming
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We consider the dynamics of the Danish mortgage loan system and propose several models to reflect 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 3, March 2007, Pages 742-766
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 3, March 2007, Pages 742-766
نویسندگان
Kourosh Marjani Rasmussen, Jens Clausen,