IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v07y2004i07ns0219024904002700.html
   My bibliography  Save this article

Optimal Strategies For The Issuances Of Public Debt Securities

Author

Listed:
  • MASSIMILIANO ADAMO

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • ANNA LISA AMADORI

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • MASSIMO BERNASCHI

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • CLAUDIA LA CHIOMA

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • ALESSIA MARIGO

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • BENEDETTO PICCOLI

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • SIMONE SBARAGLIA

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • ADAMO UBOLDI

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • DAVIDE VERGNI

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • PAOLA FABBRI

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

  • DAVIDE IACOVONI

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

  • FRANCESCO NATALE

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

  • STEFANO SCALERA

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

  • LUCIA SPILOTRO

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

  • ANTONELLA VALLETTA

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

Abstract

We describe a model for the optimization of the issuances of Public Debt securities developed together with the Italian Ministry of Economy and Finance. The goal is to determine the composition of the portfolio issued every month which minimizes a specific "cost function". Mathematically speaking, this is a stochastic optimal control problem with strong constraints imposed by national regulations and the Maastricht treaty. The stochastic component of the problem is represented by the evolution of interest rates. At this time the optimizer employs classic Linear Programming techniques. However more sophisticated techniques based on Model Predictive Control strategies are under development.

Suggested Citation

  • Massimiliano Adamo & Anna Lisa Amadori & Massimo Bernaschi & Claudia La Chioma & Alessia Marigo & Benedetto Piccoli & Simone Sbaraglia & Adamo Uboldi & Davide Vergni & Paola Fabbri & Davide Iacovoni &, 2004. "Optimal Strategies For The Issuances Of Public Debt Securities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(07), pages 805-822.
    • Handle: RePEc:wsi:ijtafx:v:07:y:2004:i:07:n:s0219024904002700
    DOI: 10.1142/S0219024904002700
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024904002700
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024904002700?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Sergio Ginebri & Bernardo Maggi & Manuel Turco, 2005. "The automatic reaction of the Italian government budget to fundamentals: an econometric analysis," Applied Economics, Taylor & Francis Journals, vol. 37(1), pages 67-81.
    2. Dudley Jackson, 2000. "The New National Accounts," Books, Edward Elgar Publishing, number 1851.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zafra-Cabeza, Ascensión & Ridao, Miguel A. & Camacho, Eduardo F., 2008. "Using a risk-based approach to project scheduling: A case illustration from semiconductor manufacturing," European Journal of Operational Research, Elsevier, vol. 190(3), pages 708-723, November.
    2. Bernaschi, Massimo & Tacconi, Elisa & Vergni, Davide, 2008. "A parametric study of the term structure dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1264-1272.
    3. Date, P. & Canepa, A. & Abdel-Jawad, M., 2011. "A mixed integer linear programming model for optimal sovereign debt issuance," European Journal of Operational Research, Elsevier, vol. 214(3), pages 749-758, November.
    4. Adedoyin Isola Lawal, 2014. "Tactical Assets Allocation: Evidence from the Nigerian Banking Industry," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(2), pages 193-204, April.
    5. Andrea Consiglio & Alessandro Staino, 2012. "A stochastic programming model for the optimal issuance of government bonds," Annals of Operations Research, Springer, vol. 193(1), pages 159-172, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Libman Alexander & Feld Lars P., 2013. "Strategic Tax Collection and Fiscal Decentralization: The Case of Russia," German Economic Review, De Gruyter, vol. 14(4), pages 449-482, December.
    2. Massimo BERNASCHI & Alessandro MISSALE & Davide VERGNI, 2009. "Should governments minimize debt service cost and risk? A closer look at the debt strategy. Simulation approach," Departmental Working Papers 2009-53, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    3. Bojnec, Štefan, 2016. "Dual-use products export multipliers with the indirect effects," Technological Forecasting and Social Change, Elsevier, vol. 102(C), pages 287-296.
    4. Ali Culha, 2012. "Turkiye’de Vergi Gelirlerinin Iktisadi Dongulere Duyarliligi," CBT Research Notes in Economics 1234, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    5. David Brennan, 2006. "Defending The Indefensible? Culture'S Role In The Productive/Unproductive Dichotomy," Feminist Economics, Taylor & Francis Journals, vol. 12(3), pages 403-425.
    6. Massimo Bernaschi & Maya Briani & Marco Papi & Davide Vergni, 2007. "Scenario-generation methods for an optimal public debt strategy," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 217-229.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:07:y:2004:i:07:n:s0219024904002700. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.