دانلود مقاله ISI انگلیسی شماره 11407
عنوان فارسی مقاله

برنامه های کاربردی از کنترل بهینه تصادفی / برنامه نویسی پویا برای امور مالی بین المللی و بحران بدهی

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
11407 2005 9 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Applications of stochastic optimal control/dynamic programming to international finance and debt crises
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Nonlinear Analysis: Theory, Methods & Applications, Volume 63, Issues 5–7, 30 November–15 December 2005, Pages e2033–e2041

کلمات کلیدی
بدهی مطلوب - برنامه نویسی پویا - کنترل بهینه تصادفی - کره - آرژانتین - سیگنال های هشدار دهنده بحران بدهی
پیش نمایش مقاله
پیش نمایش مقاله برنامه های کاربردی از کنترل بهینه تصادفی / برنامه نویسی پویا برای امور مالی بین المللی و بحران بدهی

چکیده انگلیسی

In July 1997, the economies of East Asia became embroiled in one of the worst financial crises of the postwar period. In 2001 Argentina defaulted on its sovereign debt. Prior to the crises, the markets and the International Monetary Fund viewed these economies as models of growth and stability. We use stochastic optimal control and dynamic programming to model an optimal foreign debt and show why divergences of the actual debt from the optimal make the economies vulnerable to crises. These divergences imply measurable warning signals. We provide examples of the derived warning signals for Korea and Argentina.

مقدمه انگلیسی

A major part of the mathematical finance literature has been concerned with intertemporal optimization and risk management of portfolios. The seminal work was by Robert Merton, Continuous Time Finance (1990). Wendell Fleming, his co-authors and others influenced by his work, have made the subsequent major contributions. The articles use the techniques of stochastic optimal control/dynamic programming (SOC/DP), and successively consider ever more interesting, difficult and realistic modeling of both the uncertainty and the constraints. Comprehensive evaluations of this mathematical literature are by Fleming [1], [2] and [3]. Recently, Fleming and Stein [5] and [6], Stein [7], Stein and Lim [8], Stein and Paladino [9] have applied the techniques of SOC/DP to the modeling of debt crises. The aim of this interdisciplinary paper is to explain the logic of the modeling and the ability of this approach to derive warning signals of debt crises. In July 1997, the economies of East Asia became embroiled in one of the worst financial crises of the postwar period. Yet, prior to the crisis, these economies were seen as models of economic growth experiencing sustained growth rates that exceeded those earlier thought unattainable. Similarly in 1998, the financial markets and the International Monetary Fund viewed Argentina as a model of stability and growth. However in 2001–02 the Argentine economy defaulted on its huge debt. Why did the market not anticipate the crises? To this end, we use SOC/DP to model an optimal foreign debt, and show why “divergences” lead to debt crises. The important point here is that these models suggest important variables which may serve as warning signals to predict crises. We provide examples of these warning signals for Korea and Argentina.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.