Sensitivity of Bond Portfolio's Behavior with Respect to Random Movements in Yield Curve: A Simulation Study
نویسندگان
چکیده
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 curves, we then provide bounds for the optimality gap for various candidate first-stage solutions.
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ورودعنوان ژورنال:
- Annals OR
دوره 99 شماره
صفحات -
تاریخ انتشار 2000