1 option
How Can We Combine Loans into Balanced Loan Portfolios?.
- Format:
- Video
- Series:
- Academic Video Online
- Language:
- English
- Subjects (All):
- Asymptotic expansions.
- Business mathematics.
- Physical Description:
- 1 online resource (12 minutes)
- Place of Publication:
- [Place of publication not identified] : Latest Thinking, [date of publication not identified]
- System Details:
- video file
- Summary:
- The paper presented in this video, from the field of financial mathematics, addresses the problem of building optimal loan portfolios and develops a novel computational method to do so even if with an infinite number of loans. The new tool was tested on a data-set of 120 million mortgage loans, and was able to solve this high-dimensional problem. As KAY GIESECKE explains, the applied method is an asymptotic approximation approach: To solve the problem at hand, the solution to a problem with fewer dimensions is computed, and as the portfolio grows larger again, the solution "grows" into the solution of the actual problem.
- Notes:
- Title from resource description page (viewed August 24, 2020).
- Part of the metadata in this record was created by AI.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.