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
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
