Sensitivity Analysis of Bond Portfolio Management Model
Li Shuanlao, Zhang Xuedong, Xu Chengxian
(Xi'an Jiaotong University,Xi'an 710049,China)

Abstract: In order to effectively allocate assets and match assets with liabilities for financial institutions, parameter sensitivity of the bond portfolio management model with incomplete information is studied by means of the stochastic programming. Upper and lower boundary estimations of maximal utility function on final wealth in connection with stochastic interest rate are obtained. Moreover, the scope of maximal utility function is determined. The work could be used as a reference for financial institutions to allocate their assets.
Keywords: incomplete information;bond portfolio;assets-liability management;sensitivity analysis;utility function