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A Two-Period Portfolio Selection Model for Asset-backed Securitization

机译：资产支持证券化的两阶段投资组合选择模型

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摘要

Asset-Backed Securitization (ABS) is a well-stated financial mechanism which allows an institution (either a commercialbank or a firm) to get funds through the conversion of assets into capital market products called notes or asset-backedsecurities. In this paper, we analyze the combinatorial problem faced by the financial institution which has to optimallyselect the set of assets to be converted into notes. We assume that assets follow an amortization rule characterized byconstant periodic principal installments (Italian amortization). The particular shape of the assets outstanding principalis exploited both in the mathematical formulation of the problem and in its solution. In particular, we study a modelformulation for the special case where assets selection occurs at two dates during the securitization process. We introducetwo heuristic approaches based on Lagrangian relaxation and analyze their worst-case behavior compared to the optimalsolution value. The performance of the algorithms is tested on a large set of problem instances generated according to tworeal-world scenarios provided by a leasing company. The proposed approximation algorithms turn out to yield solutionsof high quality within very short computation time. The comparison to the solution approach applied by practitionersyields an average improvement of roughly 10% of the objective function value.
机译：资产支持证券化（ABS）是一种完善的财务机制，它允许机构（商业银行或公司）通过将资产转换为称为票据或资产支持证券的资本市场产品来获得资金。在本文中，我们分析了金融机构面临的组合问题，该问题必须最佳地选择要转换为票据的资产集。我们假定资产遵循以固定本金定期摊销为特征的摊销规则（意大利摊销）。在问题的数学表述及其解决方案中都利用了未偿还本金的特殊形状。特别是，我们研究了特殊情况下的模型公式化，在证券化过程中，资产选择发生在两个日期。我们介绍了两种基于拉格朗日松弛的启发式方法，并与最佳解值进行比较，分析了它们的最坏情况行为。在根据租赁公司提供的两个实际场景生成的大量问题实例上测试了算法的性能。所提出的近似算法证明可以在非常短的计算时间内产生高质量的解决方案。与从业人员所采用的解决方案方法的比较得出的平均收益约为目标函数值的10％。

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