TY - JOUR
T1 - A dynamic stochastic programming model for bond portfolio management
AU - Yu, Liyong
AU - Wang, Shouyang
AU - Wu, Yue
AU - Lai, K. K.
PY - 2004
Y1 - 2004
N2 - In this paper we develop a dynamic stochastic programming model for bond portfolio management. A new risk measurement-shortfall cost is put forward. It allows more tangible expression of the risks that the decision makers face than does the traditional risk measure-variance of terminal wealth. We also adopt the interest rate model of Black et al. to generate scenarios of riskless short rates at future periods. An example of bond portfolio management is presented to illustrate that our model dominates the usual fixed-mix model. © Springer-Verlag Berlin Heidelberg 2004.
AB - In this paper we develop a dynamic stochastic programming model for bond portfolio management. A new risk measurement-shortfall cost is put forward. It allows more tangible expression of the risks that the decision makers face than does the traditional risk measure-variance of terminal wealth. We also adopt the interest rate model of Black et al. to generate scenarios of riskless short rates at future periods. An example of bond portfolio management is presented to illustrate that our model dominates the usual fixed-mix model. © Springer-Verlag Berlin Heidelberg 2004.
KW - Bond portfolio management
KW - Scenario generation
KW - Stochastic programming
UR - http://www.scopus.com/inward/record.url?scp=35048854632&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-35048854632&origin=recordpage
U2 - 10.1007/978-3-540-25944-2_113
DO - 10.1007/978-3-540-25944-2_113
M3 - RGC 21 - Publication in refereed journal
SN - 0302-9743
VL - 3039
SP - 876
EP - 883
JO - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
JF - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
ER -