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Sensitivity analysis of a bond portfolio model for the Italian market. (English) Zbl 1017.91036

Summary: Management of bond 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.

MSC:

91B28 Finance etc. (MSC2000)
90C15 Stochastic programming
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