From data to model and back to data: A bond portfolio management problem

From data to model and back to data: A bond portfolio management problem

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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: ,
Keywords: programming: probabilistic
Abstract:

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.

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