Sir I was thinking can we use linear programming for optimisation of debt portfolio where resources/constraints would be coupon, term to maturity and the duration and the LP model would be maximisation of yield of different kind of papers.

once again.....search for Stavros Zenios' papers

where can I look for this paper and let me know whether decision variables like coupon rate , term to maturity nd yield are correct parameters for the modelling.Thanks in advance

where can I look for this paper I tried the searc on the site as well as google or could you give the title of the paper and let me know whether decision variables like coupon rate , term to maturity nd yield are correct parameters for the modelling.Thanks in advance

Graduate student to Stavros Zenios : "Is Zenios a common name in Cyprus" (Stavros is from Cyprus)Stavros : "In my family, yes!"

QuoteOriginally posted by: rishisharmawhere can I look for this paper I tried the searc on the site as well as google or could you give the title of the paper and let me know whether decision variables like coupon rate , term to maturity nd yield are correct parameters for the modelling.You didn't try that hard, did you ? Doing a search on Google with keyword 'Zenios' and 'Stavros' produced a list of results with link #2 pointing directly to Zenios homepage at the Hermes Lab at the University of Cyprus. He has published a lot since the early ninieties, so you might have to look in journals for the papers you are interested in. He has also published a book (published by Oxford University Press) on mathematical programming techniques (with emphasis on parallelization) in finance. Also notice that we are not speaking of straightforward use of linear programming but, rather, stochastic linear programming with multiple time stages and large numbers of scenarios, that require use of sophisticated interior-point LP solvers and/or decomposition techniques. A large part of his research was done while at Wharton Business School, some of it together with a PhD student, Soren S. Nielsen, who was at the University of Texas at Austin.