Debt Portfolio Management for an Oil Company Under Oil Price Uncertainty

Vladimir Korotin (), Arseniy Ulchenkov () and Rustam Islamov ()
Additional contact information
Vladimir Korotin: JSC NK “RussNeft”
Arseniy Ulchenkov: JSC NK “RussNeft”
Rustam Islamov: International Centre for Nuclear Safety

Computational Economics, 2017, vol. 49, issue 2, No 5, 289-306

Abstract: Abstract The issue of discovering an optimal debt portfolio in case of oil company under oil price uncertainty is considered in the paper. New algorithm to build optimal debt structure is proposed. It is shown that optimal portfolio reduces financial risk in case of oil price uncertainty. Non-parametric approximation is used to describe functional relationship between US dollar and Russian ruble, considered as commodity currency.

Keywords: Quantile optimization; Stochastic optimization; Uncertainty analysis; Risk management; Debt structure (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s10614-015-9555-y

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