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Designing fixed-income securities investment portfolios under different scenarios

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  • Pablo Cortés
  • Luis Onieva
  • José Guadix
  • Jesús Muñuzuri

Abstract

The management of fixed-income securities investment portfolios enjoys a long tradition in the capital markets. This paper analyses robust optimisation models as efficient tools for risk management of fixed-income securities. The study includes the analysis of scenario-based optimisation models applied to the portfolio selection and on the basis of indeterminate initial endowment. A detailed analysis is made for a case study involving the composition of fixed-income investment portfolios, which is solved using robust scenario-based optimisation models. Finally, a sensitivity analysis is carried out for different scenarios occurring for each of the models.

Suggested Citation

  • Pablo Cortés & Luis Onieva & José Guadix & Jesús Muñuzuri, 2013. "Designing fixed-income securities investment portfolios under different scenarios," The Service Industries Journal, Taylor & Francis Journals, vol. 33(9-10), pages 859-875, July.
    • Handle: RePEc:taf:servic:v:33:y:2013:i:9-10:p:859-875
    DOI: 10.1080/02642069.2013.719885
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