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.

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Year of publication:	2009-02-25
Authors:	Bensoussan, Alain ; Chutani, Anshuman ; Sethi, Suresh

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Bensoussan, Alain and Chutani, Anshuman and Sethi, Suresh (2009): Optimal Cash Management Under Uncertainty. Published in: Operations Research Letters , Vol. 37, No. 6 (November 2009): pp. 425-429.
Classification:	G31 - Capital Budgeting; Investment Policy ; E22 - Capital; Investment (including Inventories); Capacity ; C02 - Mathematical Methods ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing ; D14 - Personal Finance
Source:	BASE

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