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

页码：425 / 429

页数：5

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