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