Bond portfolio management with repo contracts: the Italian case

Marida Bertocchi (), Rosella Giacometti () and Leon Slominski ()

Annals of Operations Research, 2000, vol. 97, issue 1, 129 pages

Abstract: In this paper we present a model for management of bond portfolio including financing and investment repo contracts. Different specifications are suggested in order to reduce the problem to a linear programming problem and to consider a self-financing portfolio. The models are tested on historical data assuming a technical time scale equal to the minimum length of the contracts in the portfolio. We also compared different operative strategies on a time horizon of one month. Copyright Kluwer Academic Publishers 2000

Keywords: repo contracts; portfolio management; linear programming; 90A09; 90C05; 68U20 (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1018920022920

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