Government Debt Control: Optimal Currency Portfolio and Payments

Motivated by empirical facts, we develop a theoretical model for optimal currency government debt portfolio and debt payments, which allows both government debt aversion and jumps in the exchange rates. We obtain first a realistic stochastic differential equation for public debt and then solve expli...

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Veröffentlicht in:	Operations research 2015-09, Vol.63 (5), p.1044-1057
Hauptverfasser:	Huamán-Aguilar, Ricardo, Cadenillas, Abel
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis CONTEXTUAL AREAS Currencies debt control Deficit financing Developing countries Differential equations Foreign exchange LDCs Learning models (Stochastic processes) Operations research optimal currency debt portfolio optimal debt payments Payment Portfolio management Public debts stochastic control Stochastic models
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