Name
Abstract | ||
|---|---|---|
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. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1016/j.orl.2009.08.002 | Operations Research Letters |
Keywords | Field | DocType |
maximum principle,risky assets,uncertain capital gain,stochastic maximum principle,optimization problem,optimal transaction policy,stochastic control,cash management,meeting demand,optimal cash management | Price/cash flow ratio,Cash on cash return,Cash and cash equivalents,Cash flow statement,Operating cash flow,Cash flow forecasting,Finance,Cash management,Business,Cash flow | Journal |
Volume | Issue | ISSN |
37 | 6 | Operations Research Letters |
Citations | PageRank | References |
3 | 0.53 | 3 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Alain Bensoussan | 1 | 367 | 170.17 |
| Anshuman Chutani | 2 | 21 | 2.93 |
| Suresh Sethi | 3 | 1215 | 255.98 |