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Document Type:Latin Dissertation
Language of Document:English
Record Number:52578
Doc. No:TL22532
Call number:‭3368601‬
Main Entry:Melissa Maisch
Title & Author:Optimal debt allocation using a dynamic programming approachMelissa Maisch
College:University of Southern California
Date:2009
Degree:Ph.D.
student score:2009
Page No:49
Abstract:In this dissertation the optimal maturity structure of debt is determined. According to the 2007 Financial Report of the U.S. Government, the public debt is expected to triple by 2040. It is therefore ever more urgent to minimize this liability by optimizing the structure of debt. A partial equilibrium approach is used to determine the optimal allocation between two representative debt instruments: a short-term Bill and a long-term Note. The objective function is solved numerically through the principle of dynamic programming. Calibrating the Ornstein-Uhlenbeck process to the U.S. T-Bill rates gives the optimal debt allocation as a function of the current interest rate. This method can also be extended to policymakers worldwide as analogous calibrations and conclusions are made for the developing economy of South Korea and the frontier economy of Pakistan.
Subject:Social sciences; Pure sciences; Budget deficit; Debt management; Dynamic programming; Mathematics; Finance; 0508:Finance; 0405:Mathematics
Added Entry:F. M. Zapatero, Remigijus
Added Entry:University of Southern California