OPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT SECURITIES

Massimiliano Adamo, Anna Lisa Amadori, Massimo Bernaschi, Claudia La Chioma, Alessia Marigo, Benedetto Piccoli, Simone Sbaraglia, Adamo Uboldi, Davide Vergni, Paola Fabbri, Davide Iacovoni, Francesco Natale, Stefano Scalera, Lucia Spilotro and Antonella Valletta
Additional contact information
Massimiliano Adamo: Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy
Anna Lisa Amadori: Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy
Massimo Bernaschi: Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy
Claudia La Chioma: Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy
Alessia Marigo: Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy
Benedetto Piccoli: Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy
Simone Sbaraglia: Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy
Adamo Uboldi: Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy
Davide Vergni: Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy
Paola Fabbri: Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy
Davide Iacovoni: Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy
Francesco Natale: Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy
Stefano Scalera: Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy
Lucia Spilotro: Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy
Antonella Valletta: Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2004, vol. 07, issue 07, 805-822

Abstract: We describe a model for the optimization of the issuances of Public Debt securities developed together with the Italian Ministry of Economy and Finance. The goal is to determine the composition of the portfolio issued every month which minimizes a specific "cost function". Mathematically speaking, this is a stochastic optimal control problem with strong constraints imposed by national regulations and the Maastricht treaty. The stochastic component of the problem is represented by the evolution of interest rates. At this time the optimizer employs classic Linear Programming techniques. However more sophisticated techniques based on Model Predictive Control strategies are under development.

Keywords: Linear programming; public debt; stochastic control; term structure evolution; ESA95 (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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DOI: 10.1142/S0219024904002700

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