A stochastic programming model for the optimal issuance of government bonds

DOI10.1007/s10479-010-0755-5zbMath1254.90135OpenAlexW2036060228MaRDI QIDQ1931633

Andrea Consiglio, Alessandro Staino

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-010-0755-5

zbMATH Keywords

stochastic programmingsovereign debtdebt structuringoptimal debt issuance

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

Related Items (9)

Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry ⋮ A multistage stochastic programming framework for cardinality constrained portfolio optimization ⋮ Risk-averse two-stage stochastic programs in furniture plants ⋮ Forecasting macroeconomic fundamentals in economic crises ⋮ Twenty years of linear programming based portfolio optimization ⋮ A multistage linear stochastic programming model for optimal corporate debt management ⋮ Risk Management for Sustainable Sovereign Debt Financing

Cites Work

• Dynamic models for fixed-income portfolio management under uncertainty
• A stochastic programming model for funding single premium deferred annuities
• Horizon and stages in applications of stochastic programming in finance
• Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
• Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models
• OPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT SECURITIES
• Scenarios for multistage stochastic programs

This page was built for publication: A stochastic programming model for the optimal issuance of government bonds