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Optimal Strategies For The Issuances Of Public Debt Securities

Author

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  • MASSIMILIANO ADAMO

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • ANNA LISA AMADORI

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • MASSIMO BERNASCHI

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • CLAUDIA LA CHIOMA

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • ALESSIA MARIGO

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • BENEDETTO PICCOLI

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • SIMONE SBARAGLIA

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • ADAMO UBOLDI

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • DAVIDE VERGNI

    (Istituto per le Applicazioni del Calcolo "Mauro Picone", CNR, Viale del Policlinico, 137, 00161 Roma, Italy)

  • PAOLA FABBRI

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

  • DAVIDE IACOVONI

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

  • FRANCESCO NATALE

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

  • STEFANO SCALERA

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

  • LUCIA SPILOTRO

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

  • ANTONELLA VALLETTA

    (Department of the Treasury, Italian Ministry of Economy and Finance, Via XX Settembre, 97, 00187 Roma, Italy)

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 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.

Suggested Citation

  • Massimiliano Adamo & Anna Lisa Amadori & Massimo Bernaschi & Claudia La Chioma & Alessia Marigo & Benedetto Piccoli & Simone Sbaraglia & Adamo Uboldi & Davide Vergni & Paola Fabbri & Davide Iacovoni &, 2004. "Optimal Strategies For The Issuances Of Public Debt Securities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(07), pages 805-822.
    • Handle: RePEc:wsi:ijtafx:v:07:y:2004:i:07:n:s0219024904002700
    DOI: 10.1142/S0219024904002700
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    References listed on IDEAS

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    1. Sergio Ginebri & Bernardo Maggi & Manuel Turco, 2005. "The automatic reaction of the Italian government budget to fundamentals: an econometric analysis," Applied Economics, Taylor & Francis Journals, vol. 37(1), pages 67-81.
    2. Dudley Jackson, 2000. "The New National Accounts," Books, Edward Elgar Publishing, number 1851.
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    Cited by:

    1. Date, P. & Canepa, A. & Abdel-Jawad, M., 2011. "A mixed integer linear programming model for optimal sovereign debt issuance," European Journal of Operational Research, Elsevier, vol. 214(3), pages 749-758, November.
    2. Zafra-Cabeza, Ascensión & Ridao, Miguel A. & Camacho, Eduardo F., 2008. "Using a risk-based approach to project scheduling: A case illustration from semiconductor manufacturing," European Journal of Operational Research, Elsevier, vol. 190(3), pages 708-723, November.
    3. Adedoyin Isola Lawal, 2014. "Tactical Assets Allocation: Evidence from the Nigerian Banking Industry," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(2), pages 193-204, April.
    4. Andrea Consiglio & Alessandro Staino, 2012. "A stochastic programming model for the optimal issuance of government bonds," Annals of Operations Research, Springer, vol. 193(1), pages 159-172, March.
    5. Bernaschi, Massimo & Tacconi, Elisa & Vergni, Davide, 2008. "A parametric study of the term structure dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1264-1272.

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