Sensitivity of bond portfolio's behavior with respect to random movements in yield curve:: A simulation study

被引：16

作者：

Bertocchi, M

Moriggia, V

Dupacová, J

机构：

[1] Univ Bergamo, Dept Math, I-24129 Bergamo, Italy

[2] Charles Univ Prague, Dept Probabil & Math Stat, CZ-18675 Prague, Czech Republic

来源：

ANNALS OF OPERATIONS RESEARCH | 2000年 / 99卷 / 1-4期

关键词：

bond portfolio management; sensitivity to term structure changes; simulations; error bounds;

D O I：

10.1023/A:1019227901758

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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 [10] by simulation experiments. Adapting the approach of [16] to problems based on perturbed yield curves, we then provide bounds fur the optimality gap for various candidate first-stage solutions.

引用

页码：267 / 286

页数：20

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