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dc.contributor.authorXidonas, Panosen
dc.contributor.authorHassapis, Christisen
dc.contributor.authorBouzianis, G.en
dc.contributor.authorStaikouras, Christosen
dc.creatorXidonas, Panosen
dc.creatorHassapis, Christisen
dc.creatorBouzianis, G.en
dc.creatorStaikouras, Christosen
dc.date.accessioned2019-05-03T05:23:15Z
dc.date.available2019-05-03T05:23:15Z
dc.date.issued2016
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/48066
dc.description.abstractWe propose an integrated bond portfolio optimization model based on the popular cash-flow matching and immunization strategies. The underlying mathematical program, not only minimizes the initial required capital for the creation of the least cost bond portfolio, satisfying the connected series of liabilities, but also handles the uncertainty of parallel and symmetric shifts on the term structure of short rates. Moreover, a complete investment policy statement regarding the bond portfolio’s structure, the level of diversification, the amount of transaction costs and the lot sizes, is precisely formulated. We verify the validity of the proposed approach through an illustrative empirical testing application, using a well-diversified investment universe of US and European corporate bonds, as well as international sovereign bonds. The qualitative and technical conclusions we report, document the model’s effectiveness and usability. © 2016 Springer Science+Business Media New Yorken
dc.language.isoengen
dc.sourceComputational Economicsen
dc.subjectBond portfolio managementen
dc.subjectCash-flow matchingen
dc.subjectImmunizationen
dc.subjectMathematical programmingen
dc.subjectSovereign bondsen
dc.subjectUS and European corporate bondsen
dc.titleAn Integrated Matching-Immunization Model for Bond Portfolio Optimizationen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doi10.1007/s10614-016-9626-8
dc.description.startingpage1
dc.description.endingpage11
dc.author.facultyΣχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management
dc.author.departmentΤμήμα Οικονομικών / Department of Economics
dc.type.uhtypeArticleen
dc.contributor.orcidHassapis, Christis [0000-0002-7808-270X]
dc.description.totalnumpages1-11
dc.gnosis.orcid0000-0002-7808-270X


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