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A generalized impulse control model of cash management

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  • Bar-Ilan, Avner
  • Perry, David
  • Stadje, Wolfgang

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 28 (2004)
Issue (Month): 6 (March)
Pages: 1013-1033

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Handle: RePEc:eee:dyncon:v:28:y:2004:i:6:p:1013-1033

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Web page: http://www.elsevier.com/locate/jedc

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References

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  1. Sanford J. Grossman & Guy Laroque, 1988. "Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods," NBER Working Papers 2369, National Bureau of Economic Research, Inc.
  2. Jacob A. Frenkel & Boyan Jovanovic, 1981. "On Transactions and Precautionary Demand For Money," NBER Working Papers 0288, National Bureau of Economic Research, Inc.
  3. Chang, Fwu-Ranq, 1999. "Homogeneity and the Transactions Demand for Money," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(4), pages 720-30, November.
  4. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  5. Bar-Ilan, Avner & Strange, William C, 1996. "Investment Lags," American Economic Review, American Economic Association, vol. 86(3), pages 610-22, June.
  6. Frenkel, Jacob A & Jovanovic, Boyan, 1981. "Optimal International Reserves: A Stochastic Framework," Economic Journal, Royal Economic Society, vol. 91(362), pages 507-14, June.
  7. Bar-Ilan, A., 1988. "Overdrafts And The Demand For Money," Papers 34-88, Tel Aviv.
  8. Caplin, A. & Leahy, J., 1989. "State-Dependent Pricing And The Dynamics Of Money And Output," Discussion Papers 1989_32, Columbia University, Department of Economics.
  9. Bar-Ilan, A. & Sulem, A., 1991. "Explicit Solution in Inventory Problems with Delivery Lags," Papers 5-91, Tel Aviv - the Sackler Institute of Economic Studies.
  10. Ben-Bassat, Avraham & Gottlieb, Daniel, 1992. "Optimal international reserves and sovereign risk," Journal of International Economics, Elsevier, vol. 33(3-4), pages 345-362, November.
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Citations

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Cited by:
  1. Bar-Ilan, Avner & Marion, Nancy P. & Perry, David, 2007. "Drift control of international reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 3110-3137, September.
  2. Fernando Alvarez & Francesco Lippi, 2012. "The Demand of Liquid Assets with Uncertain Lumpy Expenditures," NBER Working Papers 18152, National Bureau of Economic Research, Inc.
  3. Erhan Bayraktar & Masahiko Egami, 2007. "The Effects of Implementation Delay on Decision-Making Under Uncertainty," Papers math/0703833, arXiv.org.
  4. A. Bruinshoofd & C.J.M. Kool, 2006. "Non-linear target adjustment in corporate liquidity management : an endogenous thresholds approach," Working Papers 06-15, Utrecht School of Economics.
  5. Stefano Baccarin, 2013. "Optimal Consumption of a Generalized Geometric Brownian Motion with Fixed and Variable Intervention Costs," Working papers 021, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  6. Bar-Ilan, Avner & Marion, Nancy, . "Demand for Cash with Intra-Period Endogenous Consumption," Working Papers WP2010/4, University of Haifa, Department of Economics, revised 01 Sep 2010.
  7. Luis Alvarez & Teppo Rakkolainen, 2009. "Optimal payout policy in presence of downside risk," Computational Statistics, Springer, vol. 69(1), pages 27-58, March.
  8. Baccarin, Stefano, 2009. "Optimal impulse control for a multidimensional cash management system with generalized cost functions," European Journal of Operational Research, Elsevier, vol. 196(1), pages 198-206, July.
  9. Gupta, Sushil & Dutta, Kaushik, 2011. "Modeling of financial supply chain," European Journal of Operational Research, Elsevier, vol. 211(1), pages 47-56, May.
  10. Luis H. R. Alvarez & Teppo A. Rakkolainen, 2007. "Optimal Dividend Control in Presence of Downside Risk," Discussion Papers 14, Aboa Centre for Economics.
  11. Greene, Clinton A., 2010. "Smooth-adjustment econometrics and inventory-theoretic money management," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1031-1047, June.

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