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[Untitled]
- 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.
- Subjects :
- Imagination
Mathematical optimization
Bond portfolio management
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General Decision Sciences
Management Science and Operations Research
Interest rate
Theory of computation
Yield curve
Sensitivity (control systems)
Portfolio optimization
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Complement (set theory)
Mathematics
Subjects
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