A stochastic programming model for the optimalissuance of government bonds

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13 Citazioni (Scopus)

Abstract

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.
Lingua originaleEnglish
pagine (da-a)159-172
Numero di pagine13
RivistaAnnals of Operations Research
Volume193
Stato di pubblicazionePublished - 2012

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Government bonds
Conditional value at risk
Stochastic programming
Trade-offs
Public debt
Decision under uncertainty
Economic factors
Term structure
Costs
Planning
Efficient frontier
Fluctuations
Floating
Measure of risk
Decision maker
Decision process
Multistage stochastic programming

All Science Journal Classification (ASJC) codes

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

Cita questo

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title = "A stochastic programming model for the optimalissuance of government bonds",
abstract = "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.",
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journal = "Annals of Operations Research",
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T1 - A stochastic programming model for the optimalissuance of government bonds

AU - Consiglio, Andrea

PY - 2012

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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 -