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Klukowski Leszek (Polish Academy of Sciences)
Optimization of Public Debt Management in the Case of Stochastic Budgetary Constraints
Multiple Criteria Decision Making / University of Economics in Katowice, 2010, vol. 5, s. 135-147, tab., bibliogr. 7 poz.
Dług publiczny, Zarządzanie długiem, Optymalizacja wielokryterialna
Public debt, Debt management, Multiple criteria optimization
summ., Korespondencja z redakcją: numeracja wpisana za zgodą redakcji (wynika z ciągłości wydawniczej serii MCDM) - brak numeracji na stronie tytułowej
The paper presents a stochastic approach to strategic optimization of public debt management in Poland, aimed at minimization of two criterions: servicing costs of the debt and costs resulting from stochastic budgetary constraints. The main results comprise: formulation of the problem, determination of necessary components (parameters, forecasts, etc.) and the method of problem solution. The results show the complexity of the problem and gains from its implementation (budgetary savings). The paper is based on research conducted in Polish Ministry of Finance [6].(original abstract)
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  1. Cleassens S., Kreuser J., Seigel L, Wets R.J-B.: A Strategic Approach to External Asset/Liability Management in Developing Countries. Research Proposal, The World Bank, July 11, 1995.
  2. Danish Government Borrowing and Debt 2000. Danmark Nationalbank, Copenhagen.
  3. Klukowski L.: Algorithm for Classification of Samples in the Case of Unknown Number of Random Variables Generating Them. "Przegląd Statystyczny" R. XXXVII, 1990, No. 3 (in Polish).
  4. Klukowski L., Kuba E.: Minimization of Public Debt Servicing Costs Based on Nonlinear Mathematical Programming Approach. "Control and Cybernetics" 2001, Vol. 30, No. 1. IBS PAN.
  5. Klukowski L., Kuba E.: Optimization of State Treasury Debt Management in Three-Years Horizon (in Polish). In: Modeling and Optimization, Methods and Applications. Eds. J. Kacprzyk, J. Węglarz. Acadamic Publishing House EXIT, Warsaw 2002.
  6. Klukowski L., Kuba E.: Stochastic Optimization of Strategy of Management of Treasury Securities (in Polish). National Bank of Poland - Materials and Studies, 2002 Vol. 152.
  7. Klukowski L.: Optimization of Decisions in Treasury Securities Management. High School of Information Technology (WSISiZ), Series: Monograph, Warsaw 2003 (in Polish).
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