Sovereign states issue fixed and floating securities to fund their public debt. Thevalue of such portfolios strongly depends on the fluctuations of the term structure of interestrates. This is a typical example of planning under uncertainty, where decisions have to betaken on the base of the key stochastic economic factors underneath the model.We propose a multistage stochastic programming model to select portfolios of bonds,where the aim of the decision maker is to minimize the cost of the decision process. At thesame time, we bound the conditional Value-at-Risk, a measure of risk which accounts forthe losses of the tail distribution. We build an efficient frontier to trade-off the optimal costversus the conditional Value-at-Risk and analyse the results obtained.
|Numero di pagine||13|
|Rivista||Annals of Operations Research|
|Stato di pubblicazione||Published - 2012|
All Science Journal Classification (ASJC) codes
- Management Science and Operations Research