Optimal Cash Management Under Uncertainty
We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain explicitly the optimal transaction policy.
|Date of creation:||25 Feb 2009|
|Date of revision:|
|Publication status:||Published in Operations Research Letters 6.37(2009): pp. 425-429|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
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