IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v157y2004i1p218-226.html
   My bibliography  Save this article

A diffusion approximation model for managing cash in firms: An alternative approach to the Miller-Orr model

Author

Listed:
  • Premachandra, I. M.

Abstract

No abstract is available for this item.

Suggested Citation

  • Premachandra, I. M., 2004. "A diffusion approximation model for managing cash in firms: An alternative approach to the Miller-Orr model," European Journal of Operational Research, Elsevier, vol. 157(1), pages 218-226, August.
    • Handle: RePEc:eee:ejores:v:157:y:2004:i:1:p:218-226
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(03)00109-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Merton H. Miller & Daniel Orr, 1966. "A Model of the Demand for Money by Firms," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 80(3), pages 413-435.
    2. William J. Baumol, 1952. "The Transactions Demand for Cash: An Inventory Theoretic Approach," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 66(4), pages 545-556.
    3. Sprenkle, Case M, 1969. "The Uselessness of Transactions Demand Models," Journal of Finance, American Finance Association, vol. 24(5), pages 835-847, December.
    4. Edwin H. Neave, 1970. "The Stochastic Cash Balance Problem with Fixed Costs for Increases and Decreases," Management Science, INFORMS, vol. 16(7), pages 472-490, March.
    5. Orr, Daniel, 1974. "A Note on the Uselessness of Transaction Demand Models," Journal of Finance, American Finance Association, vol. 29(5), pages 1565-1572, December.
    6. George M. Constantinides & Scott F. Richard, 1978. "Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time," Operations Research, INFORMS, vol. 26(4), pages 620-636, August.
    7. Nadia Makary Girgis, 1968. "Optimal Cash Balance Levels," Management Science, INFORMS, vol. 15(3), pages 130-140, November.
    8. Merton H. Miller & Daniel Orr, 1968. "The Demand For Money By Firms: Extensions Of Analytic Results," Journal of Finance, American Finance Association, vol. 23(5), pages 735-759, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Francisco Salas-Molina, 2024. "Fitting random cash management models to data," Papers 2401.08548, arXiv.org.
    2. Ben A. Chaouch, 2018. "Analysis of the stochastic cash balance problem using a level crossing technique," Annals of Operations Research, Springer, vol. 271(2), pages 429-444, December.
    3. Francisco Salas-Molina & Juan A. Rodr'iguez-Aguilar & Joan Serr`a & Montserrat Guillen & Francisco J. Martin, 2016. "Empirical analysis of daily cash flow time series and its implications for forecasting," Papers 1611.04941, arXiv.org, revised Jun 2017.
    4. Francisco Salas-Molina, 2020. "Risk-sensitive control of cash management systems," Operational Research, Springer, vol. 20(2), pages 1159-1176, June.
    5. Francisco Salas-Molina & Juan A. Rodríguez-Aguilar & Montserrat Guillen, 2023. "A multidimensional review of the cash management problem," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-35, December.
    6. Moraes, Marcelo Botelho da Costa & Nagano, Marcelo Seido, 2014. "Evolutionary models in cash management policies with multiple assets," Economic Modelling, Elsevier, vol. 39(C), pages 1-7.
    7. Francisco Salas-Molina & Juan A. Rodríguez-Aguilar, 2018. "Data-driven multiobjective decision-making in cash management," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, vol. 6(1), pages 77-91, June.
    8. Yonit Barron, 2022. "A probabilistic approach to the stochastic fluid cash management balance problem," Annals of Operations Research, Springer, vol. 312(2), pages 607-645, May.
    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. Francisco Salas-Molina & David Pla-Santamaria & Juan A. Rodriguez-Aguilar, 2018. "A multi-objective approach to the cash management problem," Annals of Operations Research, Springer, vol. 267(1), pages 515-529, August.
    11. Barron, Yonit, 2023. "A stochastic card balance management problem with continuous and batch-type bilateral transactions," Operations Research Perspectives, Elsevier, vol. 10(C).
    12. Van Son Lai & Duc Khuong Nguyen & William Sodjahin & Issouf Soumaré, 2018. "Discretionary Idiosyncratic Risk, Firm Cash Holdings and Investment," Working Papers 2018-008, Department of Research, Ipag Business School.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Marcos Melo & Feruccio Bilich, 2013. "Expectancy balance model for cash flow," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 240-252, April.
    2. Francisco Salas-Molina & David Pla-Santamaria & Juan A. Rodriguez-Aguilar, 2018. "A multi-objective approach to the cash management problem," Annals of Operations Research, Springer, vol. 267(1), pages 515-529, August.
    3. Yonit Barron, 2022. "A probabilistic approach to the stochastic fluid cash management balance problem," Annals of Operations Research, Springer, vol. 312(2), pages 607-645, May.
    4. Francisco Salas-Molina & Juan A. Rodríguez-Aguilar & Montserrat Guillen, 2023. "A multidimensional review of the cash management problem," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-35, December.
    5. Fernando Alvarez & Francesco Lippi & Roberto Robatto, 2019. "Cost of Inflation in Inventory Theoretical Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 32, pages 206-226, April.
    6. Piero Ganugi & Luigi Grossi & Giancarlo Ianulardo, 2015. "Scale Economies And Heterogeneity In Business Money Demand: The Italian Experience," Bulletin of Economic Research, Wiley Blackwell, vol. 67(2), pages 146-165, April.
    7. repec:eid:wpaper:17/09 is not listed on IDEAS
    8. Ben A. Chaouch, 2018. "Analysis of the stochastic cash balance problem using a level crossing technique," Annals of Operations Research, Springer, vol. 271(2), pages 429-444, December.
    9. Salas-Molina, Francisco & Martin, Francisco J. & Rodríguez-Aguilar, Juan A. & Serrà, Joan & Arcos, Josep Ll., 2017. "Empowering cash managers to achieve cost savings by improving predictive accuracy," International Journal of Forecasting, Elsevier, vol. 33(2), pages 403-415.
    10. Ellen E. Meade, 1987. "The effect of multilateral trade clearinghouses on the demand for international reserves," International Finance Discussion Papers 310, Board of Governors of the Federal Reserve System (U.S.).
    11. Alvarez, Fernando & Lippi, Francesco, 2013. "The demand of liquid assets with uncertain lumpy expenditures," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 753-770.
    12. Sandun C. Perera & Suresh P. Sethi, 2023. "A survey of stochastic inventory models with fixed costs: Optimality of (s, S) and (s, S)‐type policies—Discrete‐time case," Production and Operations Management, Production and Operations Management Society, vol. 32(1), pages 131-153, January.
    13. John A. Buzacott & Rachel Q. Zhang, 2004. "Inventory Management with Asset-Based Financing," Management Science, INFORMS, vol. 50(9), pages 1274-1292, September.
    14. Eugene A. Feinberg & Mark E. Lewis, 2007. "Optimality Inequalities for Average Cost Markov Decision Processes and the Stochastic Cash Balance Problem," Mathematics of Operations Research, INFORMS, vol. 32(4), pages 769-783, November.
    15. Van Son Lai & Duc Khuong Nguyen & William Sodjahin & Issouf Soumaré, 2018. "Discretionary Idiosyncratic Risk, Firm Cash Holdings and Investment," Working Papers 2018-008, Department of Research, Ipag Business School.
    16. Francisco Salas-Molina, 2020. "Risk-sensitive control of cash management systems," Operational Research, Springer, vol. 20(2), pages 1159-1176, June.
    17. Hinderer, K. & Waldmann, K. -H., 2001. "Cash management in a randomly varying environment," European Journal of Operational Research, Elsevier, vol. 130(3), pages 468-485, May.
    18. Francisco Salas-Molina & David Pla-Santamaria & Juan A. Rodriguez-Aguilar, 2023. "An analytic derivation of the efficient frontier in biobjective cash management and its implications for policies," Annals of Operations Research, Springer, vol. 328(2), pages 1523-1536, September.
    19. Francisco Salas-Molina & Juan A. Rodríguez-Aguilar, 2018. "Data-driven multiobjective decision-making in cash management," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, vol. 6(1), pages 77-91, June.
    20. Wei Luo & Kevin Shang, 2015. "Joint Inventory and Cash Management for Multidivisional Supply Chains," Operations Research, INFORMS, vol. 63(5), pages 1098-1116, October.
    21. Neil Geismar & Milind Dawande & Divakar Rajamani & Chelliah Sriskandarajah, 2007. "Managing a Bank's Currency Inventory Under New Federal Reserve Guidelines," Manufacturing & Service Operations Management, INFORMS, vol. 9(2), pages 147-167, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:157:y:2004:i:1:p:218-226. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.