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

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

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Article ID: iaor20101872
Volume: 205
Issue: 1
Start Page Number: 205
End Page Number: 217
Publication Date: Aug 2010
Journal: European Journal of Operational Research
Authors: ,
Keywords: financial, programming: probabilistic
Abstract:

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.

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