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 find 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.
Optimal Strategies for the Issuances of Public Debt Securities
Adamo M;Bernaschi M;Piccoli B;Vergni D;
2004
Abstract
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 find 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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
