Optimal Value of Loans via Stochastic Programming

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00484143" target="_blank" >RIV/67985556:_____/17:00484143 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Optimal Value of Loans via Stochastic Programming

Popis výsledku v původním jazyce

A question of mortgage leads to serious and complicated problems of financial mathematics. On one side is a bank with an aim to have a “good” profit, on the other side is the client trying to invest money safely, with possible “small” risk.Let us suppose that a young married couple is in a position of client. Young people know that an expected and also unexpected unpleasant financial situation can happen. Many unpleasant financial situation can be caused by a random factor. Consequently stochastic methods are suitable to secure against them. The aim of the suggested model is not only to state a maximal reasonable value of loans, but also to endure unpleasant financial period. To this end we employ stochastic optimization theory. A few suitable models will be introduced. The choice of the model depends on environment of the young people. Models will be with “deterministic” constraints, probability constraints, but also with stochastic dominance constraints. The suggested models will be analyzed both from the numerical point of view and from possible method solution based on data. Except static one-objective problem we suggest also multi–objective models.

Název v anglickém jazyce

Optimal Value of Loans via Stochastic Programming

Popis výsledku anglicky

A question of mortgage leads to serious and complicated problems of financial mathematics. On one side is a bank with an aim to have a “good” profit, on the other side is the client trying to invest money safely, with possible “small” risk.Let us suppose that a young married couple is in a position of client. Young people know that an expected and also unexpected unpleasant financial situation can happen. Many unpleasant financial situation can be caused by a random factor. Consequently stochastic methods are suitable to secure against them. The aim of the suggested model is not only to state a maximal reasonable value of loans, but also to endure unpleasant financial period. To this end we employ stochastic optimization theory. A few suitable models will be introduced. The choice of the model depends on environment of the young people. Models will be with “deterministic” constraints, probability constraints, but also with stochastic dominance constraints. The suggested models will be analyzed both from the numerical point of view and from possible method solution based on data. Except static one-objective problem we suggest also multi–objective models.

Druh

O - Ostatní výsledky

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA15-10331S" target="_blank" >GA15-10331S: Dynamické modely rizika portfolia hypoték</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů