A model for portfolio management with mortgage-backed securities

DOI10.1007/BF02025090zbMath0783.90014OpenAlexW2022360658MaRDI QIDQ1309882

Stavros A. Zenios

Publication date: 6 January 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02025090

zbMATH Keywords

mortgage-backed securitieslarge-scale programsmanagement of large portfoliostwo-stage, multiperiod model

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Applications of mathematical programming (90C90) Stochastic programming (90C15) Parallel numerical computation (65Y05)

Related Items (13)

On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty ⋮ A moment-matching method to generate arbitrage-free scenarios ⋮ A stochastic programming model for funding single premium deferred annuities ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ Strategic asset allocation ⋮ The optimal portfolio problem with coherent risk measure constraints. ⋮ The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach ⋮ A two-stage stochastic integer programming approach as a mixture of branch-and-fix coordination and Benders decomposition schemes ⋮ Stochastic programming for funding mortgage pools ⋮ Mortgage loan portfolio optimization using multi-stage stochastic programming ⋮ Dynamic models for fixed-income portfolio management under uncertainty ⋮ Discretized reality and spurious profits in stochastic programming models for asset/liability management ⋮ Computational assessment of distributed decomposition methods for stochastic linear programs

Cites Work

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• Stochastic network optimization models for investment planning
• An iterative row-action method for interval convex programming
• Massively Parallel Algorithms for Singly Constrained Convex Programs
• Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
• A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems

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