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[Untitled]

Authors :
Marida Bertocchi
Vittorio Moriggia
Jitka Dupačová
Source :
Annals of Operations Research. 99:267-286
Publication Year :
2000
Publisher :
Springer Science and Business Media LLC, 2000.

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.

Details

ISSN :
02545330
Volume :
99
Database :
OpenAIRE
Journal :
Annals of Operations Research
Accession number :
edsair.doi...........70e8126a118648624c5bab36f5c6d7e4
Full Text :
https://doi.org/10.1023/a:1019227901758