Stability Properties of a Bond Portfolio Management Problem

Jitka Dupačová ()

Annals of Operations Research, 2000, vol. 99, issue 1, 265 pages

Abstract: The bond portfolio management problem is formulated as a multiperiod two-stage or multistage stochastic program based on interest rate scenarios. These scenarios depend on the available market data, on the applied estimation and sampling techniques, etc., and are used to evaluate coefficients of the resulting large scale mathematical program. The aim of the contribution is to analyze stability and sensitivity of this program on small changes of the coefficients – the (scenario dependent) values of future interest rates and prices. We shall prove that under sensible assumptions, the scenario subproblems are stable linear programs and that also the optimal first-stage decisions and the optimal value of the considered stochastic program possess acceptable continuity properties. Copyright Kluwer Academic Publishers 2000

Keywords: stochastic programming; bond portfolio management; interest ratescenarios; stability; sensitivity (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1023/A:1019275817688 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:99:y:2000:i:1:p:251-265:10.1023/a:1019275817688

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1023/A:1019275817688

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().