Article ID: | iaor200971042 |
Country: | Germany |
Volume: | 6 |
Issue: | 3 |
Start Page Number: | 307 |
End Page Number: | 327 |
Publication Date: | Aug 2009 |
Journal: | Computational Management Science |
Authors: | Garn Araceli, Prez Gloria, Escudero Laureano F, Merino Mara |
Keywords: | programming: integer |
We present a model for optimizing a mean-risk function of the terminal wealth for a fixed income asset portfolio restructuring with uncertainty in the interest rate path and the liabilities along a given time horizon. Some logical constraints are considered to be satisfied by the assets portfolio. Uncertainty is represented by a scenario tree and is dealt with by a multistage stochastic mixed 0-1 model with complete recourse. The problem is modelled as a splitting variable representation of the Deterministic Equivalent Model for the stochastic model, where the 0-1 variables and the continuous variables appear at any stage. A Branch-and-Fix Coordination approach for the multistage 0–1 program solving is proposed. Some computational experience is reported.