6533b7ddfe1ef96bd127402a
RESEARCH PRODUCT
A Stochastic Programming Model for the Optimal Issuance of Government Bonds
Andrea ConsiglioAlessandro Stainosubject
Financial economicsComputer sciencemedia_common.quotation_subjectStochastic programmingdebt structuringGeneral Decision SciencesDistribution (economics)Management Science and Operations ResearchMeasure (mathematics)sovereign debtSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.DebtEconomicsEconometricsSovereign statemedia_commonGovernmentbusiness.industryBondEfficient frontierStochastic programmingTheory of computationValue (economics)Yield curvebusinessoptimal debt issuancedescription
Sovereign states issue fixed and floating securities to fund their public debt. The value of such portfolios strongly depends on the fluctuations of the term structure of interest rates. This is a typical example of planning under uncertainty, where decisions has to be drawn on the base of the key stochastic economic factors underneath the model.We propose a multistage stochastic programming model to select portfolios of bonds, where the aim of the decision maker is that of minimizing the cost of the decision process. At the same time, we bound the conditional Value-at-Risk, a measure of risk which accounts for the losses of the tail distribution. We build an efficient frontier to trade-off the optimal cost versus the conditional Value-at-Risk and analyze the results obtained.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2010-05-29 | SSRN Electronic Journal |