A Multistage Stochastic Programming Model with Multiple Objectives for the Optimal Issuance of Corporate Bonds

Large corporations usually cover their capital and operating expenses by issuing bonds with fixed rates and different maturities. This paper proposes a multistage stochastic programming (MSP) model with multiple objectives to optimize bond issuance by satisfying the three common objectives of corpor...

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Vydané v:Discrete dynamics in nature and society Ročník 2022; číslo 1
Hlavní autori: Yang, Ruicheng, Hu, Zinan
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: New York Hindawi 2022
John Wiley & Sons, Inc
Wiley
Predmet:
Asset management
Bond issues
Bond portfolios
Bonding
Corporate bonds
Cost control
Decision making
Empirical analysis
Expected values
Financial leverage
Genetic algorithms
Investment analysis
Objectives
Optimization
Portfolio management
Portfolio performance
Stochastic models
Stochastic programming
Massachusetts
ISSN:1026-0226, 1607-887X
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Shrnutí:Large corporations usually cover their capital and operating expenses by issuing bonds with fixed rates and different maturities. This paper proposes a multistage stochastic programming (MSP) model with multiple objectives to optimize bond issuance by satisfying the three common objectives of corporate managers, as follows: (i) Minimizing expected discounted cost under cash liquidity and financial leverage risk constraints. (ii) Minimizing financial leverage risk under expected discounted cost and cash liquidity risk constraints. (iii) Minimizing cash liquidity risk under expected discounted cost and financial leverage risk constraints. We measure liquidity risk as conditional payment-at-risk (CPaR), according to the corporation’s financial characteristics. Financial leverage risk is captured by conditional financial leverage-at-risk CFLaR, which we design based on conditional value-at-risk (CVaR). Through empirical analysis of a company in China, we explore the efficient frontier curves for the three above objectives and provide the corresponding issuance compositions of an optimal bond portfolio. Our MSP model offers guidance for corporations on achieving a trade-off between cost and risk when issuing corporate bonds.
Bibliografia:ObjectType-Article-1
SourceType-Scholarly Journals-1
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ISSN:1026-0226
1607-887X
DOI:10.1155/2022/9929891