Munich Personal RePEc Archive

Optimal Cash Management Under Uncertainty

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.

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Abstract

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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