Applications of Mathematical Control Theory to Finance. I. Modelling Simple Dynamic Cash Balance Problems.
Abstract
Several simple models, discrete and continuous, are proposed for the problem of cash balances. This is the problem of a firm which must meet its demand for cash at minimum discounted cost during a horizon period. It is assumed that surplus cash is invested in securities. The model is solved by application mathematical control theory and the optimal policy is shown to depend upon the ratio of products of the future discount factors for cash and securities. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 30, 1970
- Accession Number
- AD0720300
Entities
People
- Gerald L. Thompson
- Suresh P. Sethi
Organizations
- Carnegie Mellon University