Stochastic Cash Management with Fixed and Proportional Transaction Costs.
Technical rept. Jul 74-Jun 75,
CARNEGIE-MELLON UNIV PITTSBURGH PA MANAGEMENT SCIENCES RESEARCH GROUP
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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.
- Administration and Management
- Economics and Cost Analysis