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1、EuropeanJournalofOperationalResearch13412001)261±278www.elsevier.com/locate/dswFromdatatomodelandbacktodata:Abondportfoliomanagementproblema,*bJitkaDupacova,MaridaBertocchiaDepartmentofProbabilityandMathematicalStatistics,CharlesUniversityPrague,Sokolovska83,CZ-18675Prague,Czech
2、RepublicbDepartmentofMathematics,UniversityofBergamo,PiazzaRosate2,I-24129Bergamo,ItalyAbstractThebondportfoliomanagementproblemisformulatedasamultiperiodstochasticprogramusinginterestratescenarios.ThescenariosaresampledfromthebinomiallatticefromaBlack±Derman±Toymodel.Thepaperanaly
3、zesthesensitivityofthesolutionoftheresultinglarge-scalemathematicalprogramwithrespecttothemodelinputs.ThenumericalresultsarefortheItalianbondmarket.ó2001ElsevierScienceB.V.Allrightsreserved.Keywords:Finance;Stochasticprogramming;Scenarios;Stability;Sensitivityandpost-optimalityanal
4、ysis1.TheproblemandtheinputdataDembo,1993),uptomultistagestochasticpro-grammingmodels1seeZiembaandMulvey,1998),Theproblemconsideredhereistopreservethewhichcanbeusedforcomplexassets/liabilitiesvalueofabondportfolioofariskaverseorriskmanagementproblems1e.g.,Carinoetal.,1994).~neutral
5、institutionalinvestorovertime.ThisisaWhynottorelyontheduration-basedimmu-problemofallocationandmanagementofre-nizationmodels?Agoodansweristhefollowingsources,notoftrading.Itmayincludeadditionalquotation1cf.Kahn,1991):features,e.g.,presenceof?xedoruncertainex-ternalinˉowsoroutˉowsin
6、thefutureorare-Manyyearsago,bondswereboring.Returnsquiredbalancebetweenassetsandliabilities.Thereweresmallandsteady.Fixedincomeriskarevariousoptionsconcerningthechoiceofanmonitoringconsistedinwatchingdurationappropriatemodel,startingwithduration-basedandavoidinglowqualities.Butasin
7、terest-immunizationmodels,dedicatedbondportfolioratevolatilityhasincreasedandthevarietymanagementmodels1seeDahletal.,1993),orgoalof?xedincomeinstrumentshasgrown,bothprogrammingtypeofimmunizationmodels1cf.opportunitiesanddangershaveˉourished...*Yieldcurvesarenotˉat,donotmoveinaCorre
8、spondingauthor.E-mailaddre
