Title of article
A new bond portfolio optimization model as two-stage stochastic programming problems in U.S. market
Author/Authors
Ahmed Alkailany, Mohammed Department of Operation Research and Int. Tech - Collage of Computer Sciences and Mathematics - University of Mosul, Iraq , Abdalrazzaq, Mohammed Sadiq Department of statistic - College of Administration and Economics - University of Bagdad, Iraq
Pages
19
From page
1545
To page
1563
Abstract
We formulate a new bond portfolio optimization model as a two-stage stochastic programming problem in which a decision maker can optimize the cost of bond portfolio selection while deciding which bonds to sell, which bonds to hold, and which bonds to buy from the market, as well as determine the quantity of additional cash in period t under different scenarios and varying assumptions, The model proved its efficiency by finding the optimal values and giving an investment plan that, it will reduce the cost of the portfolio.
Keywords
Stochastic Portfolio Programming model , linear programming , nonlinear programming , constrained optimization
Journal title
International Journal of Nonlinear Analysis and Applications
Serial Year
2022
Record number
2712351
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