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Optimal Strategies for the Issuances of Public Debt Securities

Massimiliano Adamo, Anna Lisa Amadori, Massimo Bernaschi, Claudia Chioma, Alessia Marigo, Benedetto Piccoli, Simone Sbaraglia, Adamo Uboldi, Davide Vergni, Paola Fabbri, Davide Iacovoni, Francesco Natale, Stefano Scalera, Lucia Spilotro & Antonella Valletta

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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.
   
type journal paper
   
keywords
   
language English
kind of paper journal article
date of appearance 1-11-2004
journal International Journal of Theoretical and Applied Finance
publisher World Scientific (River Edge, NJ [u.a.])
ISSN 0219-0249
ISSN (online) 1793-6322
volume of journal 7
number of issue 7
page(s) 805-822
review not reviewed
   
citation Adamo, M., Amadori, A. L., Bernaschi, M., Chioma, C., Marigo, A., Piccoli, B., Sbaraglia, S., Uboldi, A., Vergni, D., Fabbri, P., Iacovoni, D., Natale, F., Scalera, S., Spilotro, L., & Valletta, A. (2004). Optimal Strategies for the Issuances of Public Debt Securities. International Journal of Theoretical and Applied Finance, 7(7), 805-822.