Stochastic Cash Management with Fixed and Proportional Transaction Costs
A 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.
Volume (Year): 22 (1976)
Issue (Month): 12 (August)
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