Optimal Cash Management under Uncertainty

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

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Year of publication:	[2014]
Authors:	Bensoussan, Alain
Other Persons:	Chutani, Anshuman (contributor) ; Sethi, Suresh (contributor)
Publisher:	[2014]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Notes:	In: Operations Research Letters, Vol. 37, pp. 425-429, 2009 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 26, 2009 erstellt
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice ; M21 - Business Economics ; M11 - Production Management
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012750956