Transaction costs in finance and inventory research

被引：10
|
作者：
Girlich, HJ [1 ]
机构：
[1] Univ Leipzig, Fac Math & Comp Sci, D-04109 Leipzig, Germany
来源：
INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS | 2003年 / 81-2卷
关键词：
consumption-investment problems; transaction costs; inventory models; diffusion approximation;
D O I：
10.1016/S0925-5273(02)00280-3
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
It is a well-known fact that inventory research has its roots in the monetary theory. In this note we sketch the interaction between inventory theory and finance today. We consider the development from a simple deterministic model to continuous-time stochastic models in modern finance. Hereby we restrict our study to consumption-investment problems incurring transaction costs which closely resembled decision problems in inventory control but differ in the modelling of uncertainty. Finally, we support the application of mathematical methods in finance to improve inventory models. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：341 / 350
页数：10
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