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) : Constantinides,George M.

Report Date : JUN 1975

Pagination or Media Count : 28

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.

Descriptors :   *Money, *Management, Cost analysis, Stochastic processes, Mathematical models, Optimization

Subject Categories : Administration and Management
      Economics and Cost Analysis

Distribution Statement : APPROVED FOR PUBLIC RELEASE