Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity
Stéphane Villeneuve; Xavier Warin
| Year of publication: |
2014
|
|---|---|
| Authors: | Villeneuve, Stéphane ; Warin, Xavier |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 8.2014, 2, p. 193-227
|
| Subject: | Liquidity management | Singular control problem | One-dimensional free boundary problem | Maximum principle | Hedging | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Betriebliche Liquidität | Corporate liquidity | Liquidität | Liquidity |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010342479