On Selecting a Portfolio of Lease Contracts in an Asset-Backed Securitization Process
The paper deals with a securitization process of lease contracts. We describe a real case where a bank (seller), simultaneously with the issuance of securities and from time to time thereafter, sells pools of credits associated with lease contracts to a factor (purchaser) in exchange for a long term loan. The problem consists in establishing which lease contracts have to be handed over by the seller to the purchaser with the objective of minimizing the gap between the outstanding principal of the loan and the amounts transferred under lease contracts. A 0–1 linear programming model is presented which is shown to be equivalent to a Multidimensional Knapsack Problem. Different heuristic solution procedures are considered and some preliminary computational results based on a real case are presented.
KeywordsFinancial Modelling 0–1 Integer Programming
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