A multi-objective multi-period stochastic programming model for public debt management

While raising debt on behalf of the government, public debt managers need to consider several possibly conflicting objectives and have to find an appropriate combination for government debt taking into account the uncertainty with regard to the future state of the economy. In this paper, we explicit...

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Vydáno v:European journal of operational research Ročník 205; číslo 1; s. 205 - 217
Hlavní autoři: Balibek, Emre, Köksalan, Murat
Médium: Journal Article
Jazyk:angličtina
Vydáno: Amsterdam Elsevier B.V 16.08.2010
Elsevier
Elsevier Sequoia S.A
Edice:European Journal of Operational Research
Témata:
Applied sciences
Debt management
Decision making models
Decision theory. Utility theory
Deficit financing
Exact sciences and technology
Mathematical programming
Multiple objective programming
Operational research and scientific management
Operational research. Management science
OR in government
OR in government Multiple objective programming Risk analysis Stochastic programming Public debt management
Public debt management
Risk analysis
Risk theory. Actuarial science
Stochastic models
Stochastic programming
Studies
Uncertainty
Turkey
Risk analysis
Public debt management
Multiple objective programming
OR in government
Stochastic programming
Stochastic model
Decision support system
Government
Multiobjective programming
Modeling
Uncertain system
Debt
Economy
Complex programming
Mathematical programming
ISSN:0377-2217, 1872-6860
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Popis
Shrnutí:While raising debt on behalf of the government, public debt managers need to consider several possibly conflicting objectives and have to find an appropriate combination for government debt taking into account the uncertainty with regard to the future state of the economy. In this paper, we explicitly consider the underlying uncertainties with a complex multi-period stochastic programming model that captures the trade-offs between the objectives. The model is designed to aid the decision makers in formulating the debt issuance strategy. We apply an interactive procedure that guides the issuer to identify good strategies and demonstrate this approach for the public debt management problem of Turkey.
Bibliografie:SourceType-Scholarly Journals-1
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ISSN:0377-2217
1872-6860
DOI:10.1016/j.ejor.2009.12.001