A new bond portfolio optimization model as two-stage stochastic programming problems in U.S. market

Document Type : Research Paper

Authors

1 Department of Operation Research and Int. Tech., Collage of Computer Sciences and Mathematics, University of Mosul, Iraq

2 Department of statistic, Collage of Administration and Economics, University of Bagdad, Iraq

Abstract

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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