Robust optimization models for managing callable bond portfolios
Robust optimization models for managing callable bond portfolios
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DOI：
10.1016/0377-2217(95)00283-9
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发表时间：
1996-06
影响因子：
6.4
通讯作者：
Christiana Vassiadou-Zeniou;S. Zenios
中科院分区：
文献类型：
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作者：
Christiana Vassiadou-Zeniou;S. Zenios
债券市场的一个主要部分目前由嵌入看涨期权的工具代表。具有赎回功能的债券的复杂性，加上最近波动性的增加，提高了债券持有人的风险和潜在回报。然而，这些复杂性使得投资组合经理很难评估个别证券及其相关风险，以便成功构建债券投资组合。传统的债券投资组合管理方法是不够的，尤其是在涉及利率依赖现金流的情况下。在本文中，我们将传统的债券定价模拟模型与稳健优化的最新进展相结合，开发出可赎回债券投资组合的管理工具。建立了两个模型：一个单周期模型，通过惩罚下行跟踪误差来施加稳健性；另一个是带追索权的多阶段随机规划。这两个模型都被应用于创建一个投资组合来跟踪可赎回债券指数。这些模型使用1992年1月至1993年3月期间的事后市场数据进行了反向测试，它们表现得非常好。
A major sector of the bond markets is currently represented by instruments with embedded call options. The complexity of bonds with call features, coupled with the recent increase in volatility, has raised the risks as well as the potential rewards for bond holders. These complexities, however, make it difficult for the portfolio manager to evaluate individual securities and their associated risks in order to successfully construct bond portfolios. Traditional bond portfolio management methods are inadequate, particularly when interest-rate-dependent cashflows are involved. In this paper we integrate traditional simulation models for bond pricing with recent developments in robust optimization to develop tools for the management of portfolios of callable bonds. Two models are developed: a single-period model that imposes robustness by penalizing downside tracking error, and a multi-stage stochastic program with recourse. Both models are applied to create a portfolio to track a callable bond index. The models are backtested using ex poste market data over the period from January 1992 to March 1993, and they perform constistently well.