A dynamic stochastic programming model for bond portfolio management

Yu, L., Wang, S., Wu, Y. and Lai, K.K. (2004) A dynamic stochastic programming model for bond portfolio management. Dang, X. (ed.) In Lecture Notes in Computer Science. Springer Berlin, Heidelberg. pp. 876-883 . (doi:10.1007/b98005).

Record type: Conference or Workshop Item (Paper)

Abstract

In this paper we develop a dynamic stochastic programming model for bond portfolio management. A new risk measurement-shortfall cost is put forward. It allows more tangible expression of the risks that the decision makers face than does the traditional risk measure-variance of terminal wealth. We also adopt the interest rate model of Black et al. to generate scenarios of riskless short rates at future periods. An example of bond portfolio management is presented to illustrate that our model dominates the usual fixed-mix model.

This record has no associated files available for download.

More information

Published date: June 2004

Additional Information: Also published in: Computational Science - ICCS 2004: 4th International Conference, Kraków, Poland, June 6-9, 2004, Proceedings, Part IV Editors: Marian Bubak, Geert Dick van Albada, Peter M. A. Sloot, Jack J. Dongarra ISBN: 3-540-22129-8

Venue - Dates: 4th International Conference Kraków, Poland, June 6-9, 2004 Proceedings, Part IV, Kraków, Poland, 2004-06-01

Keywords: bond portfolio management, stochastic programming, scenario generation

Organisations: Management

Learn more about Management research