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Sequential Policies for Bank Money Management

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  • Gordon Pye

    (Standard Oil of California)

Abstract

Banks must hold an average deposit balance in the Federal Reserve Bank each week. Surplus or deficit balances may be traded on the Federal funds market. The rate on Fed funds behaves as a random variable over the week as does the size of the surplus or deficit to be offset. Incorporating both these sources of uncertainty, sequential minimax and expected utility maximizing strategies are derived for offsetting the surplus or deficit over the week.

Suggested Citation

  • Gordon Pye, 1973. "Sequential Policies for Bank Money Management," Management Science, INFORMS, vol. 20(3), pages 385-395, November.
    • Handle: RePEc:inm:ormnsc:v:20:y:1973:i:3:p:385-395
    DOI: 10.1287/mnsc.20.3.385
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    Cited by:

    1. Scott Happ, 1986. "The Behavior of Rates on Federal Funds and Repurchase Agreements," The American Economist, Sage Publications, vol. 30(2), pages 22-32, October.

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