Abstract
Active bond management strategies rely on expectations of interest rate movements or changes in yield-spread relationships. However, the variation of the duration increases the risk of a portfolio, that why the decision maker will have to chose the combination of expected return (mid-point of the fuzzy number) and risk (width of the fuzzy number) which provides the higher utility. The construction of a fuzzy return risk map will allow the DM to know the over risk and the over return as regards immunization strategy for each duration and for each risk aversion of the DM. Finally, we present an application to the European market in which DM will have to forecast the future interest rate and will have to compare for each considered duration, the final yield of the portfolio with the expected one in order to check the validity of the model.
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Brotons, J.M. (2010). Bond Management: An Application to the European Market. In: Hüllermeier, E., Kruse, R., Hoffmann, F. (eds) Information Processing and Management of Uncertainty in Knowledge-Based Systems. Applications. IPMU 2010. Communications in Computer and Information Science, vol 81. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-14058-7_32
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DOI: https://doi.org/10.1007/978-3-642-14058-7_32
Publisher Name: Springer, Berlin, Heidelberg
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