Sensitivity analysis of a bond portfolio model for the Italian market

• Autorzy: Bertocchi M. , Dupacova J. , Moriggia V.
• Języki publikacji: EN

Abstrakty

EN

Management of hood portfolio is formulated as a multiperiod 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.

Słowa kluczowe

EN

application in finance; scenarios; sensitivity; stochastic program

PL

model stochastyczny; programowanie stochastyczne

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2000
• Tom: Vol. 29, no 2
• Strony: 595--615
• Opis fizyczny: Bibliogr. 18 poz.,

Twórcy

autor

Bertocchi M.

autor

Dupacova J.

autor

Moriggia V.