Article ID: | iaor2002100 |
Country: | Netherlands |
Volume: | 99 |
Issue: | 1 |
Start Page Number: | 267 |
End Page Number: | 286 |
Publication Date: | Dec 2000 |
Journal: | Annals of Operations Research |
Authors: | Bertocchi Marida, Moriggia Vittorio, Dupaov Jitka |
The bond portfolio management problem is formulated as a stochastic program based on interest rate scenarios. The coefficients of the resulting program are subject to errors of various kind. In this paper, we complement theoretical stability results by simulation experiments. Adapting the approach of earlier research to problems based on perturbed yield curves, we then provide bounds for the optimality gap for various candidate first-stage solutions.