刊物主题:Economic Theory/Quantitative Economics/Mathematical Methods; Computer Appl. in Social and Behavioral Sciences; Operation Research/Decision Theory; Behavioral/Experimental Economics; Math Applications
出版者:Springer US
ISSN:1572-9974
卷排序:49
文摘
The issue of discovering an optimal debt portfolio in case of oil company under oil price uncertainty is considered in the paper. New algorithm to build optimal debt structure is proposed. It is shown that optimal portfolio reduces financial risk in case of oil price uncertainty. Non-parametric approximation is used to describe functional relationship between US dollar and Russian ruble, considered as commodity currency.