OPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT SECURITIES-Reference-Cited by-同舟云学术

OPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT SECURITIES

Published:2004-11 Issue:07 Volume:07 Page:805-822
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

ADAMO MASSIMILIANO¹,AMADORI ANNA LISA¹,BERNASCHI MASSIMO¹,CHIOMA CLAUDIA LA¹,MARIGO ALESSIA¹,PICCOLI BENEDETTO¹,SBARAGLIA SIMONE¹,UBOLDI ADAMO¹,VERGNI DAVIDE¹,FABBRI PAOLA²,IACOVONI DAVIDE²,NATALE FRANCESCO²,SCALERA STEFANO²,SPILOTRO LUCIA²,VALLETTA ANTONELLA²

Affiliation:

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

2. 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.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024904002700

Reference9 articles.

1. Linear Programming and Extensions

2. Fiscal Policy, Public Debt and the Term Structure of Interest Rates

3. Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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