?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=https%3A%2F%2Fpure.iiasa.ac.at%2Fid%2Feprint%2F4113%2F&rft.title=Stochastic+Optimization+of+a+Multi-currency+Bond+Portfolio&rft.creator=Huoponen%2C+T.&rft.description=This+paper+presents+a+stochastic+optimization+approach+for+the+management+of+multi-currency+government+bond+portfolio.+This+practical+problem+of+optimal+fund+allocation+is+formulated+as+a+linearly+constrained+two-stage+model+where+the+parameter+values+are+not+known+with+certainty+but+depend+on+future+course+of+underlying+stochastic+economic+variables.+The+model+differs+from+the+standard+two-stage+formulation+as+data+for+the+second+stage+problem+is+uncertain+as+well.+The+objective+is+to+maximize+the+expected+utility+of+the+market+value+of+the+portfolio+at+the+end+of+the+planning+horizon.+To+solve+the+problem%2C+we+employ+a+stochastic+quasigradient+method+by+Ermoliev.+For+the+optimality+test%2C+upper+and+lower+estimates+for+the+optimal+objective+function+value+are+developed+based+on+a+given+confidence+level.+According+to+initial+numerical+results%2C+the+convergence+to+a+satisfactory+near-optimal+solution+is+considered+sufficiently+fast+for+a+practical+application.&rft.publisher=WP-94-098&rft.date=1994-08&rft.type=Monograph&rft.type=NonPeerReviewed&rft.format=text&rft.language=en&rft.identifier=https%3A%2F%2Fpure.iiasa.ac.at%2Fid%2Feprint%2F4113%2F1%2FWP-94-098.pdf&rft.identifier=++Huoponen%2C+T.+%3Chttps%3A%2F%2Fpure.iiasa.ac.at%2Fview%2Fiiasa%2F1972.html%3E++(1994).++Stochastic+Optimization+of+a+Multi-currency+Bond+Portfolio.+++IIASA+Working+Paper.+IIASA%2C+Laxenburg%2C+Austria%3A+WP-94-098+++++