Optimal cash management under uncertainty

被引：20
|
作者：
Bensoussan, Alain [1 ]
Chutani, Anshuman [1 ]
Sethi, Suresh P. [1 ]
机构：
[1] Univ Texas Dallas, Sch Management, Richardson, TX 75083 USA
来源：
OPERATIONS RESEARCH LETTERS | 2009年 / 37卷 / 06期
关键词：
Cash management; Stochastic control; Maximum principle; Risky assets; TRANSACTIONS DEMAND; BALANCE; CONSUMPTION; INVENTORY;
D O I：
10.1016/j.orl.2009.08.002
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain explicitly the optimal transaction policy. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：425 / 429
页数：5
相关论文
共 50 条
  • [1] On Optimal Cash Management under a Stochastic Volatility Model
    Song, Na
    Ching, Wai-Ki
    Su, Tak-Kuen
    Yiu, Cedric Ka-Fai
    EAST ASIAN JOURNAL ON APPLIED MATHEMATICS, 2013, 3 (02) : 81 - 92
  • [2] The interaction of debt financing, cash grants and the optimal investment policy under uncertainty
    Lukas, Elmar
    Thiergart, Sascha
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2019, 276 (01) : 284 - 299
  • [3] OPTIMAL GROUNDWATER QUALITY MANAGEMENT UNDER PARAMETER UNCERTAINTY
    WAGNER, BJ
    GORELICK, SM
    WATER RESOURCES RESEARCH, 1987, 23 (07) : 1162 - 1174
  • [4] Optimal Management of Groundwater Under Uncertainty: A Unified Approach
    Krishnamurthy, Chandra Kiran B.
    ENVIRONMENTAL & RESOURCE ECONOMICS, 2017, 67 (02): : 351 - 377
  • [5] Optimal Management of Groundwater Under Uncertainty: A Unified Approach
    Chandra Kiran B. Krishnamurthy
    Environmental and Resource Economics, 2017, 67 : 351 - 377
  • [6] CASH MANAGEMENT - OPTIMAL CONTROL APPROACH
    GRACE, HS
    RAJARAMAN, MK
    JOURNAL OF ECONOMICS AND BUSINESS, 1975, 27 (03) : 254 - 260
  • [7] Optimal Cash Management with Payables Finance
    Yan, Xiaoyue
    Chen, Li
    Ding, Xiaobo
    OPERATIONS RESEARCH, 2024, : 1806 - 1826
  • [8] Optimal natural resources management under uncertainty with catastrophic risk
    Motoh, T
    ENERGY ECONOMICS, 2004, 26 (03) : 487 - 499
  • [9] Optimal management of microgrids under uncertainty using scenario reduction
    Silvente, Javier
    Papageorgiou, Lazaros G.
    Dua, Vivek
    27TH EUROPEAN SYMPOSIUM ON COMPUTER AIDED PROCESS ENGINEERING, PT C, 2017, 40C : 2257 - 2262
  • [10] Optimal planning of energy management system under demand uncertainty
    Choi, Go Bong
    Lee, Seok Goo
    Lee, Jong Min
    22 EUROPEAN SYMPOSIUM ON COMPUTER AIDED PROCESS ENGINEERING, 2012, 30 : 347 - 351
12345