Accession Number:

ADA018190

Title:

Stochastic Cash Management with Fixed and Proportional Transaction Costs.

Descriptive Note:

Technical rept. Jul 74-Jun 75,

Corporate Author:

CARNEGIE-MELLON UNIV PITTSBURGH PA MANAGEMENT SCIENCES RESEARCH GROUP

Personal Author(s):

Report Date:

1975-06-01

Pagination or Media Count:

28.0

Abstract:

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.

Subject Categories:

  • Administration and Management
  • Economics and Cost Analysis

Distribution Statement:

APPROVED FOR PUBLIC RELEASE