The bond portfolio management problem is formulated as a stochastic program based on interest rate scenarios. The coefficients of the resulting program are subject to errors of various kind. In this paper, we complement the theoretical stability results of by simulation experiments. Adapting the approach of to problems based on perturbed yield curves, we then provide bounds for the optimality gap for various candidate first-stage solutions.
(2000). Sensitivity of bond portfolio's behavior with respect to random movements in yield curve: a simulation study [journal article - articolo]. In ANNALS OF OPERATIONS RESEARCH. Retrieved from http://hdl.handle.net/10446/49445
Sensitivity of bond portfolio's behavior with respect to random movements in yield curve: a simulation study
BERTOCCHI, Maria;MORIGGIA, Vittorio;
2000-01-01
Abstract
The bond portfolio management problem is formulated as a stochastic program based on interest rate scenarios. The coefficients of the resulting program are subject to errors of various kind. In this paper, we complement the theoretical stability results of by simulation experiments. Adapting the approach of to problems based on perturbed yield curves, we then provide bounds for the optimality gap for various candidate first-stage solutions.| File | Dimensione del file | Formato | |
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