Vittorio Moriggia

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The bond portfolio management problem is formulated as a stochastic program based on interest rate scenarios. The coefficients of the resulting program are subject to errors of various kind. In this paper, we complement the theoretical stability results of [10] by simulation experiments. Adapting the approach of [16] to problems based on perturbed yield(More)
The formulation of dynamic stochastic programmes for financial applications generally requires the definition of a risk–reward objective function and a financial stochastic model to represent the uncertainty underlying the decision problem. The solution of the optimization problem and the quality of the resulting strategy will depend critically on the(More)
The bond portfolio management problem is formulated as a stochastic program based on interest rate scenarios. It has been proved in Dupaková (1998) that small errors in constructing scenarios will not destroy the optimal solution. The aim of the contribution is to quantify, through carefully planned simulation studies, the magnitude of the(More)
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