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

Date

2010-08-16

Author

Balibek, Emre
Köksalan, Mustafa Murat

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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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. © 2009 Elsevier B.V. All rights reserved.

Subject Keywords

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

URI

https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=75949118384&origin=inward
https://hdl.handle.net/11511/106878

Collections

Department of Industrial Engineering, Article