Optimal Strategies for the Issuances of Public Debt Securities

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 find 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.

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Year of publication:	2004-11-01
Authors:	Adamo, Massimiliano
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Portfoliomanagement \| portfolio management \| Öffentliche Schulden \| Government Debt \| Zinsstruktur \| Term structure model

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Extent:	595968 bytes 18 p. application/pdf
Series:	Institut für Schweizerisches Bankwesen Zürich - Working Paper Series Working Paper ; 226 (2004)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Procurement of outside capital ; Individual Working Papers, Preprints ; Italy
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858815