Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs

DOI10.2307/2525547MaRDI QIDQ5613751zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Economic growth models (91B62)

Cited in

(24)

• The precautionary demand for money: A utility maximization approach
• Multi-factor dynamic investment under uncertainty
• OPTIMALITY OF FOUR-THRESHOLD POLICIES IN INVENTORY SYSTEMS WITH CUSTOMER RETURNS AND BORROWING/STORAGE OPTIONS
• Analysis of the stochastic cash balance problem using a level crossing technique
• The asymptotic behavior of the optimal cash holding strategy under a class of utility functions
• Suboptimal policies for stochastic cash balance problems
• 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
• Note on he form of optimal policies for harvesting biologically renewable resources
• Optimality of doubly reflected Lévy processes in singular control

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