A two-period portfolio selection model for Asset-Backed Securitization

zbMATH Open1277.90075MaRDI QIDQ2867372FDOQ2867372

Authors: Renata Mansini, Ulrich Pferschy 

Publication date: 11 December 2013

Published in: Algorithmic Operations Research (Search for Journal in Brave)

Full work available at URL: http://journals.hil.unb.ca/index.php/AOR/article/view/10091

Recommendations

• A model for portfolio management with mortgage-backed securities
• A two-asset stochastic model for long-term portfolio selection
• A two-period model with portfolio choice: understanding results from different solution methods
• A portfolio-based evaluation of affine term structure models
• A two-phase data envelopment analysis model for portfolio selection
• A mixed R{\&}D projects and securities portfolio selection model
• scientific article
• scientific article; zbMATH DE number 912674
• A multidimensional knapsack model for asset-backed securitization
• Portfolio selection in a two-regime world

zbMATH Keywords

worst-case analysisLagrangian heuristicsAsset-Backed Securitization

Mathematics Subject Classification ID

Portfolio theory (91G10) Boolean programming (90C09) Financial applications of other theories (91G80)

Cited In (4)

• Title not available (Why is that?)
• Securitization of financial assets: approximation in theory and practice
• Title not available (Why is that?)
• A multidimensional knapsack model for asset-backed securitization

This page was built for publication: A two-period portfolio selection model for Asset-Backed Securitization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2867372)