A multidimensional knapsack model for asset-backed securitization

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.