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)
|Contact details of provider:|| Postal: 7240 Parkway Drive, Suite 300, Hanover, MD 21076 USA|
Web page: http://www.informs.org/
More information through EDIRC
- Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004.
"Asset Prices and Trading Volume under Fixed Transactions Costs,"
Journal of Political Economy,
University of Chicago Press, vol. 112(5), pages 1054-1090, October.
- Andrew Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," Yale School of Management Working Papers ysm188, Yale School of Management, revised 01 Sep 2009.
- Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," NBER Working Papers 8311, National Bureau of Economic Research, Inc.
- Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45.
- Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," Harvard Business School Working Papers 10-023, Harvard Business School, revised Jul 2010.
- Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," NBER Working Papers 15362, National Bureau of Economic Research, Inc.
- Opler, Tim & Pinkowitz, Lee & Stulz, Rene & Williamson, Rohan, 1999. "The determinants and implications of corporate cash holdings," Journal of Financial Economics, Elsevier, vol. 52(1), pages 3-46, April.
- Tim Opler & Lee Pinkowitz & Rene Stulz & Rohan Williamson, 1997. "The Determinants and Implications of Corporate Cash Holdings," NBER Working Papers 6234, National Bureau of Economic Research, Inc.
- Inderfurth, Karl & van der Laan, Erwin, 2001. "Leadtime effects and policy improvement for stochastic inventory control with remanufacturing," International Journal of Production Economics, Elsevier, vol. 71(1-3), pages 381-390, May.
- Bensoussan, Alain & Chutani, Anshuman & Sethi, Suresh, 2009. "Optimal Cash Management Under Uncertainty," MPRA Paper 19896, University Library of Munich, Germany.
- Fleischmann, Moritz & Bloemhof-Ruwaard, Jacqueline M. & Dekker, Rommert & van der Laan, Erwin & van Nunen, Jo A. E. E. & Van Wassenhove, Luk N., 1997. "Quantitative models for reverse logistics: A review," European Journal of Operational Research, Elsevier, vol. 103(1), pages 1-17, November.
- 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.
- Fleischmann, Moritz & Kuik, Roelof, 2003. "On optimal inventory control with independent stochastic item returns," European Journal of Operational Research, Elsevier, vol. 151(1), pages 25-37, November.
- Gormley, Fionnuala M. & Meade, Nigel, 2007. "The utility of cash flow forecasts in the management of corporate cash balances," European Journal of Operational Research, Elsevier, vol. 182(2), pages 923-935, October.
- Pinçe, Çerag & Gürler, Ülkü & Berk, Emre, 2008. "A continuous review replenishment-disposal policy for an inventory system with autonomous supply and fixed disposal costs," European Journal of Operational Research, Elsevier, vol. 190(2), pages 421-442, October.
- Isohätälä, Jukka & Milne, Alistair & Robertson, Donald, 2014. "The net worth trap: investment and output dynamics in the presence of financing constraints," Research Discussion Papers 26/2014, Bank of Finland.
- Art Durnev & Vihang Errunza & Alexander Molchanov, 2009. "Property rights protection, corporate transparency, and growth," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 40(9), pages 1533-1562, December.
When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:22:y:1976:i:12:p:1320-1331. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mirko Janc)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.
Follow series, journals, authors & more
New papers by email
Subscribe to new additions to RePEc
Public profiles for Economics researchers
Various rankings of research in Economics & related fields
Who was a student of whom, using RePEc
Curated articles & papers on various economics topics
Upload your paper to be listed on RePEc and IDEAS
Blog aggregator for economics research
Cases of plagiarism in Economics
Job Market Papers
RePEc working paper series dedicated to the job market
Pretend you are at the helm of an economics department
Services from the StL Fed
Data, research, apps & more from the St. Louis Fed