Sensitivity analysis of a bond portfolio model for the Italian market

Sensitivity analysis of a bond portfolio model for the Italian market

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Article ID: iaor20082858
Country: Poland
Volume: 29
Issue: 2
Start Page Number: 595
End Page Number: 615
Publication Date: Jan 2000
Journal: Control and Cybernetics
Authors: , ,
Keywords: finance & banking
Abstract:

Management of bond portfolio is formulated as a multiperiod scenario-based stochastic program with random recourse. The former results on sensitivity analysis of its optimal value with respect to the strategy applied in selection of input scenarios are extended and applied to a real life problem from the Italian bond market. The numerical study provides details on this application and illustrates also the impact of the utility function chosen and of the size of transaction costs.

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