### Abstract

Lingua originale | English |
---|---|

pagine (da-a) | 159-172 |

Numero di pagine | 13 |

Rivista | Annals of Operations Research |

Volume | 193 |

Stato di pubblicazione | Published - 2012 |

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### All Science Journal Classification (ASJC) codes

- Decision Sciences(all)
- Management Science and Operations Research

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**A stochastic programming model for the optimalissuance of government bonds.** / Consiglio, Andrea.

Risultato della ricerca: Article

*Annals of Operations Research*, vol. 193, pagg. 159-172.

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TY - JOUR

T1 - A stochastic programming model for the optimalissuance of government bonds

AU - Consiglio, Andrea

PY - 2012

Y1 - 2012

N2 - 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.

AB - 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.

KW - Stochastic programming

KW - debt structuring

KW - optimal debt issuance

KW - sovereign debt

UR - http://hdl.handle.net/10447/61177

M3 - Article

VL - 193

SP - 159

EP - 172

JO - Annals of Operations Research

JF - Annals of Operations Research

SN - 0254-5330

ER -