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

European Journal of Operational Research

Volumn 205, Issue 1, 2010, Pages 205-217

  Balibek, Emre ^a,b   Köksalan, Murat ^b  

^a Turkish Treasury   (Turkey)

^b MIDDLE EAST TECHNICAL UNIVERSITY   (Turkey)

Author keywords

Multiple objective programming; OR in government; Public debt management; Risk analysis; Stochastic programming

Indexed keywords

DECISION MAKERS; MANAGEMENT PROBLEMS; MANAGEMENT RISK; MULTI OBJECTIVE; MULTI-PERIOD; MULTIPLE OBJECTIVE PROGRAMMING; OR IN GOVERNMENT; STOCHASTIC PROGRAMMING MODEL;

DECISION MAKING; RISK ANALYSIS; RISK ASSESSMENT; SAFETY FACTOR; STOCHASTIC PROGRAMMING; STOCHASTIC SYSTEMS;

STOCHASTIC MODELS;

EID: 75949118384     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2009.12.001     Document Type: Article

References (38)

1. Alesina A., Pratti A., and Tabellini G. Public confidence and debt management: A model and a case study of Italy. In: Dornbush R., and Draghi M. (Eds). Public Debt Management: Theory and History (1990), Cambridge University Press 94-118
2. Artzner P., Delbaen J.M., Eber J.M., and Heath D. Coherent measures of risk. Mathematical Finance 9 3 (1999) 203-228
3. Barro, R.J., 1995. Optimal Debt Management. National Bureau of Economic Research, Working Paper 5327.
4. Barro R.J. Optimal management of indexed and nominal debt. Annals of Economics and Finance 4 (2003) 1-15
5. Bergström, P.B., Holmlund, A., Lindberg, S., 2002. The SNDO's Simulation Model for Government Debt Analysis. Swedish National Debt Office (SNDO). (retrieved on 29.01.2008).
6. Boender G.C.E. A hybrid simulation/optimization scenario model for asset/liability management. European Journal of Operational Research 99 (1997) 126-135
7. Bolder, D.J., 2003. A Stochastic Simulation Framework for the Government of Canada's Debt Strategy. Bank of Canada, Working Paper 2003-10.
8. Bolder, D.J., Rubin, T., 2007. Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis. Bank of Canada, Working Paper 2007-13.
9. Bradley S.P., and Crane D.B. A dynamic model for bond portfolio management. Management Science 19 2 Application Series (1972) 139-151
10. Carino D.R., Kent T., Myers D.H., Stacy C., Sylvanus M., Turner A.L., Watanabe K., and Ziemba W.T. The Russell-Yasuda Kasai model: An asset/liability model for a Japanese Insurance Company using multistage stochastic programming. Interfaces 24 1 (1994) 29-49
11. Cassard, M., Folkerts-Landau, D., 1997. Risk Management of Sovereign Assets and Liabilities. IMF, Working Paper WP/97/166.
12. Danmarks Nationalbank, 2005. Danish Government Borrowing and Debt. (retrieved on 29.01.2008).
13. In: Dornbush R., and Draghi M. (Eds). Public Debt Management: Theory and History (1990), Cambridge University Press, Cambridge
14. Dupacova J., Hurt J., and Stepan J. Stochastic Modelling in Economics and Finance (2002), Kluwer Academic Publishers, Dordrecht
15. Grill, T., Östberg, H., 2003. A Financial Optimization Approach to Quantitative Analysis of Long Term Government Debt Management in Sweden. Masters Thesis, Dept. of Mathematics, Linköping Institute of Technology.
16. HM Treasury, 2007. Debt and Reserves Management Report. (retrieved on 04.07.2007).
17. Hoyland K., and Wallace K. Generating scenario trees for multistage decision problem. Management Science 47 2 (2001) 295-307
18. International Monetary Fund - The World Bank, 2003. Guidelines for Public Debt Management-Accompanying Document and Selected Case Studies. International Monetary Fund Publication Services, Washington, D.C.
19. Kaut M., and Wallace S.W. Evaluation of scenario-generation methods for stochastic programming. Pacific Journal of Optimization 3 2 (2007) 257-271
20. Korhonen P., and Laakso J. A visual interactive method for solving the multiple criteria problem. European Journal of Operational Research 24 (1986) 277-287
21. Leong, D., 1999. Debt Management - Theory and Practice. HM Treasury, Treasury Occasional Paper No10.
22. Mansini R., Ogryczak W., and Speranza M.G. Conditional value at risk and related linear programming models for portfolio optimization. Annals of Operations Research 152 1 (2007) 227-256
23. Missale A., and Blanchard O.J. The debt burden and debt maturity. American Economic Review 84 1 (1994) 309-319
24. Nielsen S.S., and Poulsen R. A two-factor stochastic programming model of Danish mortgage-backed securities. Journal of Economic Dynamics and Control 28 (2004) 1267-1289
25. Organisation for Economic Cooperation and Development (OECD), 2005. Advances in Risk Management of Public Debt. OECD Publishing No. 6, Paris.
26. Pflug G.C. Some Remarks on the value-at-risk and the conditional value-at-risk. In: Uryasev S. (Ed). Probabilistic and Constrained Optimization: Methodology and Applications (2000), Kluwer Academic Publishers, Boston 272-281
27. RiskMetrics™, 1996. Technical Document, fourth ed., JP Morgan, New York.
28. Rockafellar R.T., and Uryasev S. Optimization of conditional value-at-risk. The Journal of Risk 2 3 (2000) 21-41
29. Steuer R.E. Multiple Criteria Optimization: Theory, Computation and Application (1986), John Wiley, New York
30. Steuer R.E., and Na P. Multicriteria decision making combined with finance: A categorized bibliography. European Journal of Operational Research 150 3 (2003) 496-515
31. Topaloglou N., Vladimirou H., and Zenios S.A. A dynamic stochastic programming model for international portfolio management. European Journal of Operational Research 185 3 (2008) 1501-1524
32. Turkish Treasury, 2004. Public Debt Management Report. (retrieved on 30.08.2009).
33. Villaverde, M., 2003. Global Fund Management Using Stochastic Optimization. Judge Institute of Management, University of Cambridge, Research Papers in Management Studies WP12/2003.
34. Volosov, K., Mitra, Spagnolo, F., Lucas, C., 2004. Treasury Management Model with Foreign Exchange Exposure. Centre for Analysis of Risk and Optimization Modelling Applications, Brunel University, Technical Report CTR/28/04.
35. Yu L.Y., Ji X.D., and Wang S.Y. Stochastic programming models in financial optimization: A survey. Advanced Modelling and Optimization 5 1 (2003) 75-201
36. Zenios S.A., Holmer M.R., McKendall R., and Vassiadou-Zeniou C. Dynamic models for fixed income portfolio management under uncertainty. Journal of Economic Dynamics and Control 22 (1998) 1517-1541
37. In: Ziemba W.T., and Mulvey J.M. (Eds). Worldwide Asset and Liability Modelling (1998), Cambridge University Press, Cambridge
38. Zopounidis C. Multicriteria decision aid in financial management. European Journal of Operations Research 119 (1999) 404-415