Note—Planning and Forecast Horizons for the Bond Refunding Problem

This paper discusses the planning horizon issues of the dynamic bond refunding problem, when interest, floatation and call costs are changing arbitrarily over time and are deterministic. A planning horizon theorem is proved, enabling us to identify planning and forecasting horizons and thus reducing information requirements and increasing computational efficiency.

• 저널Management Science · 21(11) · 1332–1337
• 토픽Financial Markets and Investment Strategies · Finance
• DOI10.1287/mnsc.21.11.1332
• 저자Yoram Friedman, Zvi Lieber