Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark

DOI10.1007/S10287-013-0170-XMaRDI QIDQ744251zbMATH OpenOpenAlexFDO

Authors Claus A. Madsen, Rolf Poulsen, K. M. Rasmussen

Publication date 6 October 2014

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-013-0170-x

Mathematics Subject Classification ID

Case-oriented studies in operations research (90B90) Stochastic programming (90C15) Credit risk (91G40)

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Cites work

• A two-factor, stochastic programming model of Danish mortgage-backed securities
• Coherent measures of risk
• Financial planning for Young households
• Mortgage loan portfolio optimization using multi-stage stochastic programming
• The affine arbitrage-free class of Nelson-Siegel term structure models

Cited in

(6)

• Risk and reward of home equity borrowing for investment in Canada, a stochastic analysis
• Optimal cross-currency mortgage decisions
• Stochastic programming for funding mortgage pools
• When to refinance a mortgage: a dynamic programming approach
• Mortgage loan portfolio optimization using multi-stage stochastic programming
• A two-factor, stochastic programming model of Danish mortgage-backed securities

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