A multidimensional knapsack model for asset-backed securitization

R Mansini () and M G Speranza
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R Mansini: University of Brescia
M G Speranza: University of Brescia

Journal of the Operational Research Society, 2002, vol. 53, issue 8, 822-832

Abstract: Abstract Securitization is a financial operation which allows a financial institution to transform financial assets, for instance mortgage assets or lease contracts, into marketable securities. We focus the analysis on a real case of a bank for the leasing. Once the securitization characteristics, such as size and times of the operation, have been defined, the profit for the financial institution—Italease Bank for the Leasing in our case—depends on how the financial assets to use in the securitization are selected. We show that the selection problem can be modelled as a multidimensional knapsack problem (MDKP). Some formal arguments suggest that there may exist a prevailing constraint in the MDKP. Such an idea is used in the design of some simple heuristics which turn out to be very effective.

Keywords: asset-backed securitization; leasing; multidimensional knapsack; heuristics (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1057/palgrave.jors.2601401

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