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Conference Paper (Czech conference)

Optimal Value of Loans via Stochastic Programming

Kaňková Vlasta

: Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017), p. 313-318

: MME 2017. International Conference Mathematical Methods in Economics /35./, (Hradec Králové, CZ, 20170913)

: GA15-10331S, GA ČR

: Loan-debtor, installments, stochastic programming, probability constraints, second order dominance constraints


(eng): 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.

: AH

: 50206