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A multidimensional knapsack model for asset-backed securitization

Author

Listed:
  • R Mansini

    (University of Brescia)

  • M G Speranza

    (University of Brescia)

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.

Suggested Citation

  • R Mansini & M G Speranza, 2002. "A multidimensional knapsack model for asset-backed securitization," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 53(8), pages 822-832, August.
    • Handle: RePEc:pal:jorsoc:v:53:y:2002:i:8:d:10.1057_palgrave.jors.2601401
    DOI: 10.1057/palgrave.jors.2601401
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    Citations

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    Cited by:

    1. Ivan Derpich & Carlos Herrera & Felipe Sepúlveda & Hugo Ubilla, 2021. "Complexity indices for the multidimensional knapsack problem," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 589-609, June.
    2. Renata Mansini & Roberto Zanotti, 2020. "A Core-Based Exact Algorithm for the Multidimensional Multiple Choice Knapsack Problem," INFORMS Journal on Computing, INFORMS, vol. 32(4), pages 1061-1079, October.
    3. Setzer, Thomas & Blanc, Sebastian M., 2020. "Empirical orthogonal constraint generation for Multidimensional 0/1 Knapsack Problems," European Journal of Operational Research, Elsevier, vol. 282(1), pages 58-70.
    4. Lamanna, Leonardo & Mansini, Renata & Zanotti, Roberto, 2022. "A two-phase kernel search variant for the multidimensional multiple-choice knapsack problem," European Journal of Operational Research, Elsevier, vol. 297(1), pages 53-65.

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