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Simulation approach to two-stage bond portfolio optimization problem
Descriptive
TitleInfo
Title
Simulation approach to two-stage bond portfolio optimization problem
Name
(type = personal)
NamePart
(type = family)
Xu
NamePart
(type = given)
Chuan
DisplayForm
Chuan Xu
Role
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(authority = RULIB)
author
Name
(type = personal)
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(type = family)
Prekopa
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(type = given)
Andras
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Andras Prekopa
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Advisory Committee
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chair
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Boros
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Endre
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Endre Boros
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Advisory Committee
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internal member
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BEN-ISRAEL
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ADI BEN-ISRAEL
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Advisory Committee
Role
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internal member
Name
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NamePart
Rutgers University
Role
RoleTerm
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degree grantor
Name
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NamePart
Graduate School - New Brunswick
Role
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school
TypeOfResource
Text
Genre
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theses
OriginInfo
DateCreated
(qualifier = exact)
2014
DateOther
(qualifier = exact);
(type = degree)
2014-05
Place
PlaceTerm
(type = code)
xx
Language
LanguageTerm
(authority = ISO639-2b);
(type = code)
eng
Abstract
(type = abstract)
Studies on two sides are done in this thesis. First, we consider bond portfolio optimization problem under stochastic optimization structure; second, specific algorithm to solve the problem is explored. A stochastic model for the problem is constructed. Investor is able to minimize the cost of setting up bond portfolio to cover random obligations with our model. The idea of rebalancing is introduced into our model. Investor could adjust the portfolio after he have set up the bond portfolio. Thus, we develop a two-stage stochastic programming with recourse model for bond optimization problem. Specific algorithms to solve the problem are also discussed in the thesis. We focus on simulation approach since it is able to handle special case of the problem whose random variables in constraints have continuous distribution. The key points of the approach are introduced and discussed. We successfully implement the approach on our model. Various numerical example tests with different scenario settings are carried out to see the impacts of different factors on the optimum value, optimum solution and the quality of results. The validity of our model and the efficiency of simulation approach are proved by the results. Several future research directions on this topic are also discussed in the thesis.
Subject
(authority = RUETD)
Topic
Operations Research
RelatedItem
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TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier
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ETD
Identifier
ETD_5419
PhysicalDescription
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electronic resource
InternetMediaType
application/pdf
InternetMediaType
text/xml
Extent
x, 70 p. : ill.
Note
(type = degree)
M.S.
Note
(type = bibliography)
Includes bibliographical references
Note
(type = statement of responsibility)
by Chuan Xu
Subject
(authority = ETD-LCSH)
Topic
Stochastic programming
Subject
(authority = ETD-LCSH)
Topic
Portfolio management
RelatedItem
(type = host)
TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
Identifier
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rucore19991600001
Location
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(displayLabel = Rutgers, The State University of New Jersey)
NjNbRU
Identifier
(type = doi)
doi:10.7282/T3M32T3R
Genre
(authority = ExL-Esploro)
ETD graduate
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Rights
RightsDeclaration
(ID = rulibRdec0006)
The author owns the copyright to this work.
RightsHolder
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Name
FamilyName
Xu
GivenName
Chuan
Role
Copyright Holder
RightsEvent
Type
Permission or license
DateTime
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(qualifier = exact);
(point = start)
2014-04-09 14:21:41
AssociatedEntity
Name
Chuan Xu
Role
Copyright holder
Affiliation
Rutgers University. Graduate School - New Brunswick
AssociatedObject
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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Technical
RULTechMD
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ContentModel
ETD
OperatingSystem
(VERSION = 5.1)
windows xp
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