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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| Main Authors: | , |
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| Other Authors: | |
| Language: | English |
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2017
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| Subjects: | |
| Online Access: | http://hdl.handle.net/11610/17252 |
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| _version_ | 1828461157897207808 |
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| author | Μπουζιάνης, Γεώργιος Bouzianis, Georgios |
| author2 | Ξυδώνας, Παναγιώτης |
| author_sort | Μπουζιάνης, Γεώργιος |
| collection | DSpace |
| description | 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. |
| id | oai:hellanicus.lib.aegean.gr:11610-17252 |
| institution | Hellanicus |
| language | English |
| publishDate | 2017 |
| record_format | dspace |
| title | An integrated optimization model for immunizing and matching pension funds bond portfolios. |
| topic | Stochastic dynamic integrative asset and liability management strategy Matching immunization mathematical programming Bond portfolio optimization bond portfolio Μαθηματικός προγραμματισμός για αντιστοίχιση και ανοσοποίηση Βελτιστοποίηση ομολογιακών χαρτοφυλακίων Στοχαστικός δυναμικός προγραμματισμός περιουσιακών στοιχείων και υποχρεώσεων Matching theory (URL: http://id.loc.gov/authorities/subjects/sh85082044) Bond (URL: http://zbw.eu/stw/descriptor/12234-1) Mathematical programming (URL: http://zbw.eu/stw/descriptor/15055-0) |
| url | http://hdl.handle.net/11610/17252 |
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