Debt Portfolio Management for an Oil Company Under Oil Price Uncertainty
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- 作者：Vladimir Korotin ; Arseniy Ulchenkov ; Rustam Islamov
- 关键词：Quantile optimization ; Stochastic optimization ; Uncertainty analysis ; Risk management ; Debt structure
- 刊名：Computational Economics
- 出版年：2017
- 出版时间：February 2017
- 年：2017
- 卷：49
- 期：2
- 页码：289-306
- 全文大小：
- 刊物类别：Business and Economics
- 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.