(1) Dipartimento di Matematica, Statistica, Informatica e Applicazioni, Università di Bergamo, Piazza Rosate 2, I-24129 Bergamo, Italy;(2) System Research Institute, Polish Academy of Sciences, Newelska 6, Warszawa, Poland
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 revised version was published online in June 2006 with corrections to the Cover Date.