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.