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. 425429.

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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.
Item Type:  MPRA Paper 

Original Title:  Optimal Cash Management Under Uncertainty 
English Title:  Optimal Cash Management Under Uncertainty 
Language:  English 
Keywords:  Cash management, Stochastic control, Maximum principle, Risky assets 
Subjects:  G  Financial Economics > G3  Corporate Finance and Governance > G31  Capital Budgeting ; Fixed Investment and Inventory Studies ; Capacity E  Macroeconomics and Monetary Economics > E2  Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E22  Investment ; Capital ; Intangible Capital ; Capacity C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61  Optimization Techniques ; Programming Models ; Dynamic Analysis D  Microeconomics > D9  Intertemporal Choice > D92  Intertemporal Firm Choice, Investment, Capacity, and Financing D  Microeconomics > D1  Household Behavior and Family Economics > D14  Household Saving; Personal Finance 
Item ID:  19896 
Depositing User:  Suresh P. Sethi 
Date Deposited:  11. Jan 2010 17:26 
Last Modified:  12. Feb 2013 14:20 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/19896 