Reducing transaction costs for interest rate risk hedging with stochastic programming
提出一个两阶段随机规划模型来对冲利率风险，在交易成本和投资组合方差之间权衡，利用期限结构的高质量测量提取系统风险因子并精确估计交易成本，模拟显示该方法对所有风险厌恶投资者都优于传统方法。
Traditional methods for hedging interest rate risk do not take transaction costs into account as they aim to eliminate all risk. We propose a two-stage stochastic programming model for hedging interest rate risk where transaction costs are weighed against portfolio variance. High-quality measurements of term structures enable us to extract the systematic risk factors and make precise estimates of the perceived transaction costs. The hedging cost is weighed against the reduction in portfolio variance by using an adjustable hedging parameter. The hedging procedure is simulated on a daily basis in a realistic setting over an out-of-sample period from 2002 to 2018, and the results are compared to traditional hedging methods through detailed performance attribution. Using second-order stochastic dominance, we show that the proposed method is preferred by all risk-averse investors.