Planning Your Own Debt
用随机规划方法分析丹麦房主如何最优地选择和调整抵押贷款，发现金融机构的“经验法则”对激进型借款人合理，而风险规避者应频繁调整并使用更分散的投资组合。
We model the Danish market for mortgage backed securities with a two‐factor interest rate model and use a stochastic programming approach to analyse how an individual home‐owner should initially compose and subsequently readjust his mortgage in an optimal way. Results show that the ‘rules of thumb’ used by financial institutions are reasonable, although best suited for more aggressive mortgagors, for whom the delivery option is of some value. More risk‐averse investors should also re‐adjust frequently, but use more diversified portfolios. Results are insensitive to whether a one‐ or two‐factor model is used, provided the former is suitably calibrated.