| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5099686 | Journal of Economic Dynamics and Control | 2007 | 25 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Kourosh Marjani Rasmussen, Jens Clausen,