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

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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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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

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