Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs
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Publication:5613751
DOI10.2307/2525547zbMATH Open0212.24904OpenAlexW2080202273MaRDI QIDQ5613751FDOQ5613751
Authors: Gary D. Eppen, Eugene Fama 
Publication date: 1969
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2525547
Cited In (24)
- OPTIMALITY OF FOUR-THRESHOLD POLICIES IN INVENTORY SYSTEMS WITH CUSTOMER RETURNS AND BORROWING/STORAGE OPTIONS
- The precautionary demand for money: A utility maximization approach
- Multi-factor dynamic investment under uncertainty
- Suboptimal policies for stochastic cash balance problems
- 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
- A multi-objective approach to the cash management problem
- Fitting random cash management models to data
- A probabilistic approach to the stochastic fluid cash management balance problem
- A fractional optimal control model for a simple cash balance problem
- Optimal decision-making of mutual fund temporary borrowing problem via approximate dynamic programming
- Two-Sided Singular Control of an Inventory with Unknown Demand Trend
- Cash management in a randomly varying environment
- Simple optimal replenishment and disposal policies for a product recovery system with leadtimes
- The utility of cash flow forecasts in the management of corporate cash balances
- Portfolio selection with transactions costs
- Empty container management in a port with long-run average criterion
- Model predictive control of cash balance in a cash concentration and disbursements system
- Long term average cost control problems without ergodicity
- A NEW APPROACH FOR THE STOCHASTIC CASH BALANCE PROBLEM WITH FIXED COSTS
- Myopic and stationary solutions for stochastic cash balance problems
- The optimal cash holding models for stochastic cash management of continuous time
- Optimality of doubly reflected Lévy processes in singular control
- Note on he form of optimal policies for harvesting biologically renewable resources
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