Stochastic Cash Management with Fixed and Proportional Transaction Costs.
Abstract
A continuous time model of cash management is formulated with stochastic demand and allowing for positive and negative cash balances. The form of the optimal policy is assumed to be of a simple form (d, D, U, u). The parameters of the optimal policy are explicitly evaluated and the properties of the system are discussed.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 01, 1975
- Accession Number
- ADA018190
Entities
People
- George M. Constantinides
Organizations
- Carnegie Mellon University