Optimalt porteføljevalg for danske boligejere – University of Copenhagen

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Optimalt porteføljevalg for danske boligejere

Specialeforsvar ved Natacha Janke

Titel: Optimalt porteføljevalg for danske boligejere

 Abstract: The mortgage market in Denmark is unique in many aspects when compared to the rest of the world. The mechanisms for the types of loans are often transparent, and fixed rate loans are offered with up to 30 years' maturity. However, remortgaging is advised on the basis of some rules of thumb, and it is not often that you are presented with the possibility of a mixture of loan types. This thesis is primarily based on the analysis in Rasmussen, Madsen and Poulsen (2013). Stochastic programming is used to present a remortgaging strategy for the borrower given a level of risk. This will be tested on historical data in the period running from 2010 to 2016, where the model is compared to a simple buy and hold-strategy and the crystal ball model. In Denmark, borrowers typically restructure their loans every 4-6 years, so a buy and hold-strategy during this period is a reasonable measure for an empirical remortgaging frequency. It is conluded that substantial savings can be obtained when using stochastic programming in relation to the buy and hold-strategy. In some cases, a mix of loan types is also revealed to be beneficial

 

 

Vejleder:  Rolf Poulsen
Censor:    Bjarne Astrup Jensen, CBS