stochastic optimization model for multi-currency bond portfolio management

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by
Helsinki School of Economics and Business Administration , Helsinki
Interest rates -- Mathematical models., Risk -- Mathematical models., Stochastic program
StatementTuula Hakala.
SeriesActa Universitatis Oeconomicae Helsingiensis., 111
Classifications
LC ClassificationsHB539 .H33 1996
The Physical Object
Pagination125 p. :
ID Numbers
Open LibraryOL631099M
ISBN 109517910177
LC Control Number96232448

Stochastic Optimization Models in Finance focuses on the applications of stochastic optimization models in finance, with emphasis on results and methods that can and have been utilized in the analysis of real financial problems. A Stochastic Optimization Model for Multi-Currency Bond Portfolio Management / Hakala, Tuula ; Doctoral dissertation.

Helsinki School of Economics, A Stochastic Optimization Model for Multi-Currency Bond Portfolio Management Title: A Stochastic Optimization Model for Multi-Currency Bond Portfolio Management: Author(s): Hakala, Tuula: Date: Language: en: Pages: s.

Major/Subject: Liikkeenjohdon systeemit (Management Science) ISBN: Series: Acta Universitatis Cited by: 4. Description.

Stochastic Optimization Models in Finance focuses on the applications of stochastic optimization models in finance, with emphasis on results and methods that can and have been utilized in the analysis of real financial problems. The discussions are organized around five themes: mathematical tools; qualitative economic results;Book Edition: 1.

In this paper we develop a dynamic stochastic programming model for bond portfolio management. A new risk measurement-shortfall cost is put forward.

The model specifies a sequence of investment decisions over time that maximize the expected utility of return at the end of the planning horizon. The model is a two-stage stochastic program with recourse. The dynamics of interest rates, cashflow uncertainty, and liquidity, default and other risk premia, Cited by: Abstract.

The contamination technique is applied to postoptimality anal ysis and analysis of the robustness of the optimal value of a scenario based bond portfolio management model with respect to inclusion of additional “out-of-sample” by: 4.

JAFEE Journal 89– (in Japanese); Hibiki, N., A hybrid simulation/tree stochastic optimization model for dynamic asset allocation. In: Scherer, B. (Ed.), Asset and Liability Management Tools: A Handbook for Best Practice, Risk Books, pp.

–], and it is called a hybrid by:   The subject of financial mathematics includes option pricing and portfolio optimization, stochastic integration, rigorous methods due to Ito and Feynman-Kac, Monte-Carlo simulation, among others.

The prerequisite include a little measure theory, differential equations, and functional by: A stochastic portfolio optimization problem with default risk on an infinite time horizon is investigated.

The default risk premium and the default intensity corresponding to the defaultable bond are assumed to rely on a stochastic factor formulated by a diffusion by: 9. Abstract. A multistage stochastic optimization model for the management of non-maturing account positions like savings deposits and variable-rate mortgages is introduced which takes the risks induced by uncertain future interest rates and customer behavior into : Karl Frauendorfer, Michael Schürle.

Value-at-Risk estimation with stochastic interest rate models for option-bond portfolios. This article proposes a Monte Carlo simulation based approach for measuring Value-at-Risk of a portfolio consisting of options and bonds.

The approach allows for jump-diffusions in underlying assets and affords to fit a variety of model layout Cited by: 5. Lots of articles in the literature have illustrated that stochastic programming models are flexible tools to describe financial optimization problems under uncertainty with realistic market imper- fections and trading restrictions.

We consider a multiperiod mean-variance model where the model parameters change according to a stochastic market. The mean vector and covariance matrix of the random returns of risky assets all depend on the state of the market during any period where the market process is assumed to follow a Markov chain.

Dynamic programming is used to solve an auxiliary problem which, in turn, Cited by: Liability Driven Investment Optimization (LDIOpt) is an asset and liability management software (ALM) for pension funds, insurance companies, and banks.

It’s optimization modelling tool enables the user to analyse their current investment portfolio, rebalance it to a new portfolio using advanced stochastic optimization models which take into.

Download stochastic optimization model for multi-currency bond portfolio management FB2

In this paper we develop a dynamic stochastic programming model for bond portfolio management. A new risk measurement-shortfall cost is put forward. It allows more tangible expression of the risks that the decision makers face than does the traditional risk measure-variance of terminal by: 4.

In Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modelling System.‘GAMS’ consists of a language which allows a high-level, algebraic representation of mathematical models and a set of solvers – numerical algorithms – to solve by: 4.

Bond portfolio management via stochastic programming Integrated risk control using stochastic programming ALM models for money management The Russell-Yasuda Kasai, InnoALM and related models for pensions, insurance companies and high net worth individualsCited by: Develop an asset-and-liability management framework for risk management of public debt.

Model the framework using multi-period stochastic programming, integrated with state-of-the-art financial. () Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach.

European Journal of Operational Research() A Risk-Sensitive Portfolio Optimisation Problem with Stochastic Interest by: Stochastic Portfolio Theory is a °exible framework for analyzing portfolio behavior and equity market structure. This theory was introduced by E.R. Fernholz in the papers (Journal of Mathematical Economics, ; Finance & Stochastics, ) and in the monograph Stochastic Portfolio Theory (Springer ).

It was further developed in the. The model was tested on historical data of interest and exchange rates. We compare a two We present a multistage model for allocation of financial resources to bond indices in different currencies.

The model was tested on historical data of interest and exchange rates.

Description stochastic optimization model for multi-currency bond portfolio management FB2

Application of multistage stochastic programs solved in Author: LuckaMaria, MelichercikIgor, HaladaLadislav. This paper presents a stochastic optimization approach for the management of multi- currency government bond portfolio.

This practical problem of optimal fund allocation is formulated as a linearly constrained two-stage model where the parameter values are not known with certainty but depend on future course of underlying stochastic economic.

ODM’s stochastic optimization model for long term debt issuance allows ODM to • Evaluate the performance of various debt issuance strategies and identify an optimal strategy based on different performance metrics.

• Add additional performance metrics as constraints or optimization. From data to model and back to data: A bond portfolio management problem European Journal of Operational Research, Vol.

No. 2 Scenario generation and stochastic programming models for asset liability managementCited by: Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth.

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Abstract. This paper presents a stochastic optimization approach for the management of multi-currency government bond portfolio. This practical problem of optimal fund allocation is formulated as a linearly constrained two-stage model where the parameter values are not known with certainty but depend on future course of underlying stochastic economic : T.

Huoponen. This paper presents a discrete stochastic programming model for commercial bank bond portfolio management. It differs from previous bond portfolio models in that it provides an optimization technique that explicitly takes into consideration the dynamic nature of the problem and that incorporates risk by treating future cash flows and interest rates as discrete random variables.

The models range from simple cashflow matching models to several variants of Markowitz mean-variance optimization to advanced models for international asset allocation and currency hedging, corporate bond portfolio management, asset and liability modeling for insurers as well as for individual investors, and the management of indexed Tuula Hakala has written: 'A stochastic optimization model for multi-currency bond portfolio management' -- subject(s): Mathematical models, Interest rates, Risk, Stochastic programming.

Robust Portfolio Optimization and Management by Frank J. Fabozzi, Peter N. Kolm, Dessislava A. Pachamanova, and Sergio M. Focardi Advanced Stochastic Models, Risk Assessment, and Portfolio.Request PDF | The performance of stochastic dynamic and fixed mix portfolio models | The purpose of this paper is to demonstrate how to evaluate stochastic programming models, and more.Dupačová, J.

and M. Bertocchi,‘Management of bond portfolios via stochastic programming — Postoptimality and sensitivity analysis’, to appear in System Modelling and Optimization, Proc.

of the th IFIP Conference, Prague (Doležal, J. and J. Fidler, eds.), Chapman and by: 6.