مدل برنامه ریزی تصادفی خطی چند مرحله ای برای مدیریت بهینه بدهی شرکت ها
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|42149||2014||9 صفحه PDF||سفارش دهید||7888 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : European Journal of Operational Research, Volume 237, Issue 1, 16 August 2014, Pages 303–311
Large corporations fund their capital and operational expenses by issuing bonds with a variety of indexations, denominations, maturities and amortization schedules. We propose a multistage linear stochastic programming model that optimizes bond issuance by minimizing the mean funding cost while keeping leverage under control and insolvency risk at an acceptable level. The funding requirements are determined by a fixed investment schedule with uncertain cash flows. Candidate bonds are described in a detailed and realistic manner. A specific scenario tree structure guarantees computational tractability even for long horizon problems. Based on a simplified example, we present a sensitivity analysis of the first stage solution and the stochastic efficient frontier of the mean-risk trade-off. A realistic exercise stresses the importance of controlling leverage. Based on the proposed model, a financial planning tool has been implemented and deployed for Brazilian oil company Petrobras.