Optimal cash management under uncertainty
نویسندگان
چکیده
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.
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 37 شماره
صفحات -
تاریخ انتشار 2009