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: | Bertocchi Marida, Giacometti Rosella, Slominski Leon |
Keywords: | programming: linear |
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.