An integrated optimization model for immunizing and matching pension funds bond portfolios.
The primary purpose of this thesis is to develop two innovative bond portfolio optimization models, based on the portfolio dedication and immunization strategies. The first mathematical program minimizes the initial capital required for the creation of a bond portfolio, and is best suited to a defin...
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| Κύριοι συγγραφείς: | , |
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| Άλλοι συγγραφείς: | |
| Γλώσσα: | English |
| Δημοσίευση: |
2017
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| Θέματα: | |
| Διαθέσιμο Online: | http://hdl.handle.net/11610/17252 |
| Ετικέτες: |
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| Περίληψη: | The primary purpose of this thesis is to develop two innovative bond portfolio optimization models, based on the portfolio dedication and immunization strategies. The first mathematical program minimizes the initial capital required for the creation of a bond portfolio, and is best suited to a defined liability-driven investment strategy. The second mathematical program operates under the uncertainty of term structure alterations, approached with Hull-White recombining trinomial lattice. In both cases, the exposure of transaction costs as well as the diversification and investment policy constraints regarding the portfolio structure, are strongly taken into account. In this sense, two mixed-integer linear programs are formulated. The validity of the proposed approach for the first model is verified through duration and convexity empirical testing. For the second model, it is verified through scenario evaluation in a well-diversified investment universe of bonds, including: US corporate bonds, European corporate bonds and sovereign bonds. |
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