Sensitivity analysis of a bond portfolio model for the Italian market

Management of bond portfolio is formulated as a multiperiod scenario-based stochastic program with random recourse. The former results on sensitivity analysis of its optimal value with respect to the strategy applied in selec tion of input scenarios are extended and applied to a real life problem fro m the Italian bond market. The numerical study provides details on this app lication and illustrates also the impact of the utility function chosen and of the size of transaction costs.