Optimal Strategies for the Issuances of Public Debt Securities
Journal
International Journal of Theoretical and Applied Finance
ISSN
0219-0249
ISSN-Digital
1793-6322
Type
journal article
Date Issued
2004-11-01
Author(s)
Adamo, Massimiliano
;
Amadori, Anna Lisa
;
Bernaschi, Massimo
;
Chioma, Claudia
;
Marigo, Alessia
;
Piccoli, Benedetto
;
Sbaraglia, Simone
;
Uboldi, Adamo
;
Vergni, Davide
;
Fabbri, Paola
;
Iacovoni, Davide
;
Natale, Francesco
;
Scalera, Stefano
;
Spilotro, Lucia
;
Valletta, Antonella
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.
Language
English
HSG Classification
not classified
Refereed
No
Publisher
World Scientific
Publisher place
River Edge, NJ [u.a.]
Volume
7
Number
7
Start page
805
End page
822
Pages
18
Subject(s)
Division(s)
Eprints ID
12643