Mohammed Ahmed Alkailany, Mohammed Sadiq Abdalrazzaq
{"title":"一种新的债券投资组合优化模型作为两阶段随机规划问题","authors":"Mohammed Ahmed Alkailany, Mohammed Sadiq Abdalrazzaq","doi":"10.22075/IJNAA.2022.5771","DOIUrl":null,"url":null,"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.","PeriodicalId":14240,"journal":{"name":"International Journal of Nonlinear Analysis and Applications","volume":"13 1","pages":"1545-1563"},"PeriodicalIF":0.0000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A new bond portfolio optimization model as two-stage stochastic programming problems in U.S. market\",\"authors\":\"Mohammed Ahmed Alkailany, Mohammed Sadiq Abdalrazzaq\",\"doi\":\"10.22075/IJNAA.2022.5771\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":14240,\"journal\":{\"name\":\"International Journal of Nonlinear Analysis and Applications\",\"volume\":\"13 1\",\"pages\":\"1545-1563\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Nonlinear Analysis and Applications\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.22075/IJNAA.2022.5771\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Mathematics\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Nonlinear Analysis and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.22075/IJNAA.2022.5771","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Mathematics","Score":null,"Total":0}
A new bond portfolio optimization model as two-stage stochastic programming problems in U.S. market
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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