The Stochastic Cash Balance Problem with Average Compensating-Balance Requirements

DOI10.1287/MNSC.21.8.849zbMATH Open0307.90020OpenAlexW2161966357MaRDI QIDQ4065248FDOQ4065248

Authors: Warren H. Hausman, Antonio Sanchez-Bell 

Publication date: 1975

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.21.8.849

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Hamilton-Jacobi theories (49L99) Inventory, storage, reservoirs (90B05)

Cited In (4)

• The asymptotic behavior of the optimal cash holding strategy under a class of utility functions
• Analysis of the stochastic cash balance problem using a level crossing technique
• Optimization of the decentralized cash management problem
• The optimal cash holding models for stochastic cash management of continuous time

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