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1、JournalofEconomicDynamicsandControl22(1998)1517Ð1541DynamicmodelsforÞxed-incomeportfoliomanagementunderuncertaintyStavrosA.Zenios*,MartinR.Holmer1,RaymondMcKendall2,ChristianaVassiadou-Zeniou3DepartmentofPublicandBusinessAdministration,UniversityofCyprus,Kallipoleos75,P.O.Box.537,CY167
2、8,Nicosia,CyprusReceived2April1996;accepted28November1997AbstractWedevelopmulti-perioddynamicmodelsforÞxed-incomeportfoliomanagementunderuncertainty,usingmulti-stagestochasticprogrammingwithrecourse.ThemodelsintegratetheprescriptivestochasticprogramswithdescriptiveMonteCarlosimulationm
3、odelsofthetermstructureofinterestrates.Extensivevalidationexperimentsarecarriedouttoestablishthee¤ectivenessofthemodelsinhedgingagainstuncertainty,andtoassesstheirperformancevis-a`-vissingle-periodmodels.AnapplicationtotrackingtheSalomonBrothersMortgageIndexisreported,withveryencouragi
4、ngresults.Resultsthatestablishthee¦cacyofthemodelsinhedgingagainstout-of-samplescenariosarealsoreportedforanapplicationfrommoneymanagement.Themulti-periodmodelsoutperformclassicalmodelsbasedonportfolioimmunizationandsingle-periodmodels.(1998ElsevierScienceB.V.Allrightsreserved.JELclass
5、iÞcation:G0C6D9Keywords:Intertemporalportfoliotheory;Stochasticprogramming;MonteCarlosimulations1.IntroductionPortfoliomanagementproblemscanbeviewedasmulti-perioddynamicdecisionproblemswheretransactionstakeplaceatdiscretepointsintime.*Correspondingauthor.E-mail:zenios@wharton.upenn.edu
6、1HR&A,Washington,DC.2TheWhartonSchool,UniversityofPennsylvania,PA.3BankofCyprus,Nicosia,Cyprus.0165-1889/98/$Ðseefrontmatter(1998ElsevierScienceB.V.Allrightsreserved.PIIS0165-1889(97)00115-21518S.A.Zeniosetal./JournalofEconomicDynamicsandControl22(1998)1517±1541Ateachpointintimethemana
7、gerhastoassesstheprevailingmarketcondi-tionsÐsuchaspricesandinterestratesÐandthecompositionoftheexistingportfolio.Themanageralsohastoassesspossiblefuturemovementsofinterestrates,prices,riskpremia,andcashßowsfromthesecurities.Thisinformationisincorporatedintoasequenceofbuyingorselling
