Management of bond portfolio is formulated as a multi period scenario-based stochastic program with random recourse. The former results on sensitivity analysis of its optimal value with respect to the strategy applied in selection of input scenarios are extended and applied to a real life problem from the Italian bond market. The numerical study provides details on this application and illustrates also the impact of the utility function chosen and of the size of transaction costs.
Sensitivity analysis of a bond portfolio model for the Italian market
BERTOCCHI, Maria;MORIGGIA, Vittorio
2000-01-01
Abstract
Management of bond portfolio is formulated as a multi period scenario-based stochastic program with random recourse. The former results on sensitivity analysis of its optimal value with respect to the strategy applied in selection of input scenarios are extended and applied to a real life problem from the Italian bond market. The numerical study provides details on this application and illustrates also the impact of the utility function chosen and of the size of transaction costs.File allegato/i alla scheda:
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