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.
(2000). Bond portfolio management with repo contracts: the Italian case [journal article - articolo]. In ANNALS OF OPERATIONS RESEARCH. Retrieved from http://hdl.handle.net/10446/98129
Bond portfolio management with repo contracts: the Italian case
GIACOMETTI, Rosella;
2000-01-01
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.| File | Dimensione del file | Formato | |
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