Stochastic Cash Management with Fixed and Proportional Transaction Costs
AbstractA 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.
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Bibliographic InfoArticle provided by INFORMS in its journal Management Science.
Volume (Year): 22 (1976)
Issue (Month): 12 (August)
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