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OPTIMAL DEBT ALLOCATION USING A DYNAMIC PROGRAMMING
APPROACH
by
Melissa Maisch
A Dissertation Presented to the
FACULTY OF THE GRADUATE SCHOOL
UNIVERSITY OF SOUTHERN CALIFORNIA
In Partial Ful llment of the
Requirements for the Degree
DOCTOR OF PHILOSOPHY
(APPLIED MATHEMATICS)
August 2009
Copyright 2009 Melissa Maisch
Object Description
| Title | Optimal debt allocation using a dynamic programming approach |
| Author | Maisch, Melissa |
| Author email | mmaisch@usc.edu; melissa.maisch@gmail.com |
| Degree | Doctor of Philosophy |
| Document type | Dissertation |
| Degree program | Applied Mathematics |
| School | College of Letters, Arts and Sciences |
| Date defended/completed | 2009-05-08 |
| Date submitted | 2009 |
| Restricted until | Restricted until 29 Jul. 2011. |
| Date published | 2011-07-29 |
| Advisor (committee chair) |
Zapatero, Fernando Mikulevicius, Remigijus |
| Advisor (committee member) | Ma, Jin |
| 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. |
| Keyword | debt management; dynamic programming; bond maturity structure |
| Language | English |
| Part of collection | University of Southern California dissertations and theses |
| Publisher (of the original version) | University of Southern California |
| Place of publication (of the original version) | Los Angeles, California |
| Publisher (of the digital version) | University of Southern California. Libraries |
| Provenance | Electronically uploaded by the author |
| Type | texts |
| Legacy record ID | usctheses-m2419 |
| Rights | Maisch, Melissa |
| Repository name | Libraries, University of Southern California |
| Repository address | Los Angeles, California |
| Repository email | http://www.usc.edu/isd/libraries/services/ask_a_librarian/email/ |
| Filename | etd-Maisch-2930 |
| Archival file | uscthesesreloadpub_Volume56/etd-Maisch-2930.pdf |
Description
| Title | Page 1 |
| Full text | OPTIMAL DEBT ALLOCATION USING A DYNAMIC PROGRAMMING APPROACH by Melissa Maisch A Dissertation Presented to the FACULTY OF THE GRADUATE SCHOOL UNIVERSITY OF SOUTHERN CALIFORNIA In Partial Ful llment of the Requirements for the Degree DOCTOR OF PHILOSOPHY (APPLIED MATHEMATICS) August 2009 Copyright 2009 Melissa Maisch |
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