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A new bond portfolio optimization model as two-stage stochastic programming problems in U.S. market | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 127، دوره 13، شماره 1، خرداد 2022، صفحه 1545-1563 اصل مقاله (450.63 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2022.5771 | ||
| نویسندگان | ||
| Mohammed Ahmed Alkailany* 1؛ Mohammed Sadiq Abdalrazzaq2 | ||
| 1Department of Operation Research and Int. Tech., Collage of Computer Sciences and Mathematics, University of Mosul, Iraq | ||
| 2Department of statistic, Collage of Administration and Economics, University of Bagdad, Iraq | ||
| تاریخ دریافت: 18 شهریور 1400، تاریخ بازنگری: 14 مهر 1400، تاریخ پذیرش: 05 آبان 1400 | ||
| چکیده | ||
| 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. | ||
| کلیدواژه‌ها | ||
| Stochastic Portfolio Programming model؛ linear programming؛ nonlinear programming؛ constrained optimization | ||
| مراجع | ||
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