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Optimal strategies for the issuances of public debt securities. (English) Zbl 1090.91036

Summary: We describe a model for the optimization of the issuances of Public Debt securities developed together with the Italian Ministry of Economy and Finance. The goal is to determine the composition of the portfolio issued every month which minimizes a specific “cost function”. Mathematically speaking, this is a stochastic optimal control problem with strong constraints imposed by national regulations and the Maastricht treaty. The stochastic component of the problem is represented by the evolution of interest rates. At this time the optimizer employs classic Linear Programming techniques. However more sophisticated techniques based on Model Predictive Control strategies are under development.

MSC:

91B28 Finance etc. (MSC2000)
93E20 Optimal stochastic control
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[1] DOI: 10.1515/9781400884179 · doi:10.1515/9781400884179
[2] DOI: 10.1007/978-3-642-58595-1 · doi:10.1007/978-3-642-58595-1
[3] DOI: 10.2307/2951677 · Zbl 0751.90009 · doi:10.2307/2951677
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[8] Maciejowski J. M., Predictive Control with Constraints (2002) · Zbl 0978.93002
[9] DOI: 10.1007/978-1-4612-1466-3 · doi:10.1007/978-1-4612-1466-3
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