Skip to Main Content

Modelling and Data Analysis
2023. Vol. 13, no. 4, 140–152
doi:10.17759/mda.2023130408
ISSN: 2219-3758 / 2311-9454 (online)

Bond Portfolio Selection in the Cox-Ingersoll-Ross Framework by the Probabilistic Criterion

23

V.R. Sobol, R.O. Torishniy

PDF (RUS)
Online translation in english
GS
Information
in Google Scholar

Abstract

The problem of bond portfolio selection is considered in Cox-Ingersoll-Ross framework. The probability function is chosen as an optimality criterion, which leads to a stochastic optimization problem, The problem is solved using a smooth approximation of the probability function and its derivatives via gradient projection method. An example is provided.

General Information

Keywords: bond stochastic programming, probability function, bond portfolio, Cox-Ingersoll-Ross model

Journal rubric: Software

Article type: scientific article

DOI: https://doi.org/10.17759/mda.2023130408

Funding. The reported study was funded by Russian Science Foundation (RSF), project number 22-21-00213

Received: 09.09.2023

Accepted:

For citation: Sobol V.R., Torishniy R.O. Bond Portfolio Selection in the Cox-Ingersoll-Ross Framework by the Probabilistic Criterion. Modelirovanie i analiz dannikh = Modelling and Data Analysis, 2023. Vol. 13, no. 4, pp. 140–152. DOI: 10.17759/mda.2023130408. (In Russ., аbstr. in Engl.)

References

  1. Markowits Harry M. Portfolio Selection // Journal of Finance. 1952. 7. № 1 pp. 71-91.
  2. Kibzun A.I., Kuznecov E.A. Optimal'noe upravlenie portfelem cennyh bumag // Avtomatika i telemekhanika. 2001. № 9. pp. 101–113.
  3. Grigor'ev P.V., Kan Yu.S. Optimal'noe upravlenie po kvantil'nomu kriteriyu portfelem cennyh bumag // Avtomatika i telemekhanika. 2004. № 2. pp. 179–197.
  4. Ignatov A.N., Kibzun A.I. Dvuhshagovaya zadacha formirovaniya portfelya cennyh bumag iz dvuh riskovyh aktivov po veroyatnostnomu kriteriyu // Avtomatika i telemekhanika. 2015. №7. P. 78–100.
  5. Kan Yu.S., Kibzun A.I. Zadachi stohasticheskogo programmirovaniya s veroyatnostnymi kriteriyami. M.: Fizmatlit, 2009.
  6. Barysheva A.E., Markov A.S., Micel' A.A. Ocenka VaR pri negaussovom raspredelenii dohodnostej aktivov // Rossijskij tekhnologicheskij zhurnal. 2020. №8(2). pp.67-84.
  7. Vasicek O. An equilibrium characterization of the term structure // J. Financial Economics. 1977. V. 5. pp. 177-188.
  8. Cox J., Ingersoll J., Ross S. A Theory of the term structure of interest rate // Econometrica. 1985. V. 53. pp. 385-407.
  9. Kan Yu.S., Sysuev A.V. O priblizhennom reshenii zadachi formirovaniya portfelya cennyh bumag s fiksirovannym dohodom // Avtomatika i telemekhanika. 2010. № 6. pp. 130–141.
  10. Sobol' V.R., Torishnyj R.O. O gladkoj approksimacii veroyatnostnyh kriteriev v zadachah stohasticheskogo programmirovaniya // Tr. SPIIRAN. V. 19. № 1. 2020. pp. 180—217
  11. Sobol V., Torishnyi R. Smooth approximation of probability and quantile functions: vector generalization and its applications // Journal of Physics: Conference Series. 1925 012034. 2021. pp. 1–10.
  12. Torishnyj R.O. Programmnyj kompleks dlya analiza zadach stohasticheskogo programmirovaniya s veroyatnostnym kriteriem // VKiT. 2022. V. 19. No 5(215). pp. 3–12.

Information About the Authors

Vitalyi R. Sobol, PhD in Physics and Matematics, Associate Professor, Department 804 "Probability Theory and Computer Modeling", Moscow Aviation Institute (National Research University) (MAI), Moscow, Russia, ORCID: https://orcid.org/0000-0002-1275-0445, e-mail: vitsobol@mail.ru

Roman O. Torishniy, Engineer of Department, 804 "Probability Theory and Computer Modeling", Moscow Aviation Institute (National Research University) (MAI), Moscow, Russia, ORCID: https://orcid.org/0000-0002-9732-6247, e-mail: arenas-26@yandex.ru

Metrics

Views

Total: 37
Previous month: 12
Current month: 1

Downloads

Total: 23
Previous month: 9
Current month: 1