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
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