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a new bond portfolio optimization model as two-stage stochastic programming problems in u.s. market
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نویسنده
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alkailany mohammed ahmed ,abdalrazzaq mohammed
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منبع
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international journal of nonlinear analysis and applications - 2022 - دوره : 13 - شماره : 1 - صفحه:1545 -1563
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چکیده
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We formulate a new bond portfolio optimization model as a two-stage stochastic programming problem in which a decision maker can optimize the cost of bond portfolio selection while deciding which bonds to sell, which bonds to hold, and which bonds to buy from the market, as well as determine the quantity of additional cash in period t under different scenarios and varying assumptions, the model proved its efficiency by finding the optimal values and giving an investment plan that, it will reduce the cost of the portfolio.
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کلیدواژه
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stochastic portfolio programming model ,linear programming ,nonlinear programming ,constrained optimization
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آدرس
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university of mosul, collage of computer sciences and mathematics, department of operation research and int. tech., iraq, university of bagdad, collage of administration and economics, department of statistic, iraq
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پست الکترونیکی
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dr_aldouri@coadec.uobagdad.edu.iq
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Authors
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