- Tytuł:
- Sensitivity analysis of a bond portfolio model for the Italian market
- Autorzy:
-
Bertocchi, M.
Dupacova, J.
Moriggia, V. - Powiązania:
- https://bibliotekanauki.pl/articles/206856.pdf
- Data publikacji:
- 2000
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
model stochastyczny
programowanie stochastyczne
application in finance
scenarios
sensitivity
stochastic program - Opis:
- Management of hood portfolio is formulated as a multiperiod scenario-based stochastic program with random recourse. The former results on sensitivity analysis of its optimal value with respect to the strategy applied in selection of input scenarios are extended and applied to a real life problem from the Italian bond market. The numerical study provides details on this application and illustrates also the impact of the utility function chosen and of the size of transaction costs.
- Źródło:
-
Control and Cybernetics; 2000, 29, 2; 595-615
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł