Government Debt Control: Optimal Currency Portfolio and Payments

DOI10.1287/OPRE.2015.1412zbMath1347.91198OpenAlexW1921096321MaRDI QIDQ2795864

Ricardo Huamán-Aguilar, Abel Cadenillas

Publication date: 22 March 2016

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/68d5cdf84144d96e5e0a5b7d5761f886c7780425

zbMATH Keywords

stochastic controldebt controloptimal currency debt portfoliooptimal debt payments

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Portfolio theory (91G10)

Related Items (5)

On the singular control of exchange rates ⋮ On the Optimal Management of Public Debt: a Singular Stochastic Control Problem ⋮ Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps ⋮ Optimal exchange rates management using stochastic impulse control for geometric Lévy processes ⋮ Debt redemption fund and fiscal incentives

Cites Work

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• Optimal Central Bank intervention in the foreign exchange market
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• Optimal portfolio selection when stock prices follow an jump-diffusion process
• Estimation and Control of a Macroeconomic Model with Rational Expectations
• Financial Modelling with Jump Processes
• Optimal Production Management When Demand Depends on the Business Cycle
• Risk Aversion in the Small and in the Large

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