Kourosh Marjani Rasmussen

Technical University of Denmark

Anker Engelunds Vej 1

Building 101A

Lyngby, 2800

Denmark

  • Technical University of Denmark

SCHOLARLY PAPERS

6

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1,086

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2

CROSSREF CITATIONS

1

Scholarly Papers (6)

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1.

Portfolio Optimization of Commodity Futures with Seasonal Components and Higher Moments

Number of pages: 18 Posted: 17 Nov 2016
Thomas Bjerring, Kourosh Marjani Rasmussen and Alex Weissensteiner
Technical University of Denmark - Management Engineering, Technical University of Denmark and Free University of Bolzano Bozen
Downloads 243 (209,735)

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Commodity Futures, Sieve Bootstrapping, Omega Ratio, Portfolio Optimization, Stochastic Programming

2.

Portfolio Selection Under Supply Chain Predictability

Computational Management Science, 2018, 15(2), 139-159
Number of pages: 23 Posted: 29 Mar 2016 Last Revised: 31 Dec 2018
Thomas Bjerring, Kourosh Marjani Rasmussen and Alex Weissensteiner
Technical University of Denmark - Management Engineering, Technical University of Denmark and Free University of Bolzano Bozen
Downloads 191 (262,711)

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Predictability of Returns, Supply Chain, Scenario Generation, Portfolio Selection, Stochastic Programming

3.

Optimal Mortgage Loan Diversification

Wharton Financial Institutions Center Working Paper No. 08-12
Number of pages: 24 Posted: 17 Mar 2008 Last Revised: 28 Mar 2013
Kourosh Marjani Rasmussen and Stavros A. Zenios
Technical University of Denmark and University of Cyprus
Downloads 185 (270,402)

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Mortgage loans products, CVaR modeling, stochastic programming

4.

A Combined Stochastic Programming and Optimal Control Approach to Personal Finance and Pensions

2015, OR Spectrum: 37(3):583-616
Number of pages: 37 Posted: 06 May 2014 Last Revised: 26 Jun 2015
Agnieszka K. Konicz Bell, David Pisinger, Kourosh Marjani Rasmussen and Mogens Steffensen
Independent, Technical University of Denmark - Management Engineering, Technical University of Denmark and University of Copenhagen
Downloads 183 (272,923)
Citation 1

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dynamic programming, multi-period stochastic programming, power utility, personal finance, retirement

5.

Financial Giffen Goods: Examples and Counterexamples

Number of pages: 12 Posted: 05 Jun 2007
Rolf Poulsen and Kourosh Marjani Rasmussen
University of Copenhagen - Department of Statistics and Operations Research and Technical University of Denmark
Downloads 172 (288,093)
Citation 3

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Finance, portfolio choice, Giffen good, mortgage planning

6.

Well Armed and Firm: Diversification of Mortgage Loans for Homeowners

Journal of Risk, Vol. 10(1), pp. 1--19, 2007
Number of pages: 22 Posted: 27 Jun 2006 Last Revised: 13 Oct 2015
Stavros A. Zenios and Kourosh Marjani Rasmussen
University of Cyprus and Technical University of Denmark
Downloads 112 (403,546)

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Mortgages, risk management, Conditional Value-at-Risk, optimization