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  • Search: subject:"One-dimensional free boundary problem"
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Year of publication
Subject
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Liquidity management 2 Maximum principle 2 One-dimensional free boundary problem 2 Singular control problem 2 Betriebliche Liquidität 1 Control theory 1 Corporate liquidity 1 Hedging 1 Kontrolltheorie 1 Liquidity 1 Liquidität 1 Mathematical programming 1 Mathematische Optimierung 1 Portfolio selection 1 Portfolio-Management 1
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Online availability
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Free 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Villeneuve, Stéphane 2 Warin, Xavier 2
Institution
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Université Paris-Dauphine (Paris IX) 1
Published in...
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Economics Papers from University Paris Dauphine 1 Mathematics and financial economics 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Optimal Liquidity management and Hedging in the presence of a non-predictable investment opportunity
Villeneuve, Stéphane; Warin, Xavier - Université Paris-Dauphine (Paris IX) - 2014
In this paper, we develop a dynamic model that captures the interaction between a firm’s cash reserves, the risk management policy and the profitability of a non-predictable irreversible investment opportunity. We consider a firm that has assets in place generating a stochastic cash-flow...
Persistent link: https://www.econbiz.de/10011082467
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Cover Image
Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity
Villeneuve, Stéphane; Warin, Xavier - In: Mathematics and financial economics 8 (2014) 2, pp. 193-227
Persistent link: https://www.econbiz.de/10010342479
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