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
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.)
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