A new bond portfolio optimization model as two-stage stochastic programming problems in U.S. market

Author(s):

MohammedAhmed Alkailany , MohammedSadiq Abdalrazzaq

Message:
Article Type:
Research/Original Article (دارای رتبه معتبر)
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

Language:
English
Published:
International Journal Of Nonlinear Analysis And Applications, Volume:13 Issue: 1, Winter-Spring 2022
Pages:
1545 to 1563
https://www.magiran.com/p2360080