Abstract
In this paper we present a model for management of bond portfolio including financing and investment repo contracts. Different specifications are suggested in order to reduce the problem to a linear programming problem and to consider a self-financing portfolio. The models are tested on historical data assuming a technical time scale equal to the minimum length of the contracts in the portfolio. We also compared different operative strategies on a time horizon of one month.
This is a preview of subscription content,log in via an institution to check access.
Access this article
Subscribe and save
- Get 10 units per month
- Download Article/Chapter or eBook
- 1 Unit = 1 Article or 1 Chapter
- Cancel anytime
Buy Now
Price includes VAT (Japan)
Instant access to the full article PDF.
Similar content being viewed by others
References
J. Alworth, R. Hamaui and A. Sironi,Guida ai Pronti contro Termine(Bancaria Editrice, 1995).
G. Babcock, Duration as a link between yield and value, Journal of Portfolio Management (1984) 55–65.
M. Bertocchi and R. Giacometti, Analisi dei Contratti Pronti contro Termine, Technical Report 28, University of Bergamo (1997).
G.O. Bierwag, Contingent Immunization, in:Duration Analysis. Managing Interest Rate Risk(Ballinger, MA, 1987).
D. Duffie, Special repo rate, The Journal of Finance LI 2 (1996) 493–526.
F. Drudi and F. Panetta, Rischio di Tasso di Interesse e Coefficienti Patrimoniali: un Analisi dei Regolamenti SIM, Tema di Discussione del Servizio Studi della Banca d'Italia 180 (1992).
L. Erzegovesi, Valutazione dei titoli obbligazionari Il sole 24 ore, Milano (1993).
H.G. Fong and F.J. Fabozzi,Fixed Income Portfolio Management (Dow Jhons-Irwin II., 1985).M. Bertocchi et al. / Bond portfolio management with repo contracts 129
H. Konno and H. Yamazaky, Mean absolute deviation portfolio optimization model and its applications to Tokyo Stock Market, Management Science 37 (1991) 519–531.
M.G. Speranza, Linear programming models for portfolio optimization, Finance XIV (1993) 107–123.
Author information
Authors and Affiliations
Dipartimento di Matematica, Statistica, Informatica e Applicazioni, Università di Bergamo, Piazza Rosate 2, I-24129, Bergamo, Italy
Marida Bertocchi & Rosella Giacometti
System Research Institute, Polish Academy of Sciences, Newelska 6, Warszawa, Poland
Leon Slominski
- Marida Bertocchi
You can also search for this author inPubMed Google Scholar
- Rosella Giacometti
You can also search for this author inPubMed Google Scholar
- Leon Slominski
You can also search for this author inPubMed Google Scholar
Rights and permissions
About this article
Cite this article
Bertocchi, M., Giacometti, R. & Slominski, L. Bond portfolio management with repo contracts: the Italian case.Annals of Operations Research97, 111–129 (2000). https://doi.org/10.1023/A:1018920022920
Issue Date:
Share this article
Anyone you share the following link with will be able to read this content:
Sorry, a shareable link is not currently available for this article.
Provided by the Springer Nature SharedIt content-sharing initiative