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The Structure of Structured Bond Portfolio Models

Author

Listed:
  • Paul Zipkin

    (Columbia University, New York, New York)

Abstract

Over the past decade, optimization models have been widely used to help select bond portfolios. Several different formulations are popular. The purposes of this paper are to clarify the basic structures of the models, to explain the relationships among them, and to assess their strengths and weaknesses.

Suggested Citation

  • Paul Zipkin, 1992. "The Structure of Structured Bond Portfolio Models," Operations Research, INFORMS, vol. 40(1-supplem), pages 157-169, February.
    • Handle: RePEc:inm:oropre:v:40:y:1992:i:1-supplement-1:p:s157-s169
    DOI: 10.1287/opre.40.1.S157
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    Citations

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    Cited by:

    1. Perry, David & Berg, M. & Posner, M. J. M., 2001. "Stochastic models for broker inventory in dealership markets with a cash management interpretation," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 23-34, August.
    2. Klaassen, Pieter, 1997. "Discretized reality and spurious profits in stochastic programming models for asset/liability management," European Journal of Operational Research, Elsevier, vol. 101(2), pages 374-392, September.
    3. Perry, David & Stadje, Wolfgang, 2000. "Risk analysis for a stochastic cash management model with two types of customers," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 25-36, February.
    4. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.

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