Abstract
A linear programming model under uncertainty, currently used for fixed income portfolio management, is discussed. The objective is the maximization of total return; i.e., income plus unrealized gains and losses from fixed income securities. The model allows for optimization over arbitrary horizons and interest rate scenarios. Portfolio trading prior to the horizon is also allowed. Risk analysis is introduced on the variability of the rate of return. Significantly the model combines a mean-variance approach in linear programming format. The use of the model for income planning and evaluating alternative trading strategies is discussed.
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© 1980 Springer-Verlag Berlin Heidelberg
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Lane, M., Kreuser, J. (1980). Designing Investment Strategies for Fixed-Income Portfolios. In: Fiacco, A.V., Kortanek, K.O. (eds) Extremal Methods and Systems Analysis. Lecture Notes in Economics and Mathematical Systems, vol 174. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-46414-0_6
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DOI: https://doi.org/10.1007/978-3-642-46414-0_6
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-09730-3
Online ISBN: 978-3-642-46414-0
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