Bond portfolio management with repo contracts: The Italian case

Bond portfolio management with repo contracts: The Italian case

0.00 Avg rating0 Votes
Article ID: iaor20012171
Country: Netherlands
Volume: 97
Issue: 1
Start Page Number: 111
End Page Number: 129
Publication Date: Dec 2000
Journal: Annals of Operations Research
Authors: , ,
Keywords: programming: linear
Abstract:

In this paper we present a model for management of bond portfolio including financing and investment repo contracts. Different specifications are suggested in order to reduce the problem to a linear programming problem and to consider a self-financing portfolio. The models are tested on historical data assuming a technical time scale equal to the minimum length of the contracts in the portfolio. We also compared different operative strategies on a time horizon of one month.

Reviews

Required fields are marked *. Your email address will not be published.