| Article ID: | iaor20021782 |
| Country: | Netherlands |
| Volume: | 134 |
| Issue: | 2 |
| Start Page Number: | 261 |
| End Page Number: | 278 |
| Publication Date: | Oct 2001 |
| Journal: | European Journal of Operational Research |
| Authors: | Bertocchi Marida, Dupaov Jitka |
| Keywords: | programming: probabilistic |
The bond portfolio management problem is formulated as a multiperiod stochastic program using interest rate scenarios. The scenarios are sampled from the binomial lattice from a Black–Derman–Toy model. The paper analyzes the sensitivity of the solution of the resulting large-scale mathematical program with respect to the model inputs. The numerical results are for the Italian bond market.