The (S,s) policy is an optimal trading strategy in a class of commodity price speculation problems

DOI10.1007/S00199-005-0065-3MaRDI QIDQ868617zbMATH OpenOpenAlexWikidataFDO

Authors N. E. Zubov

Publication date 6 March 2007

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-005-0065-3

zbMATH Keywords

\((S\(K\)-concavityinventory investments) \) policy

Mathematics Subject Classification ID

Dynamic programming (90C39) Inventory, storage, reservoirs (90B05) Trade models (91B60)

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Cites work

• scientific article; zbMATH DE number 1095138 (Why is no real title available?)
• scientific article; zbMATH DE number 3322720 (Why is no real title available?)
• Optimal Inventory Policy
• Optimality of (s, S) Policies in Inventory Models with Markovian Demand

Cited in

(11)

• A stochastic optimal stopping model for storable commodity prices
• Time-varying (S, s) band models: properties and interpretation
• Price and Inventory Dynamics in an Oligopoly Industry: A Framework for Commodity Markets
• Speculative trading, prospect theory and transaction costs
• A model for speculation in a dynamic economy
• A NEW APPROACH FOR THE STOCHASTIC CASH BALANCE PROBLEM WITH FIXED COSTS
• Optimal commodity trading with a capacitated storage asset
• Estimation of endogenously sampled time series: the case of commodity price speculation in the steel market
• Merchant commodity storage practice revisited
• Optimal investment policy with fixed adjustment costs and complete irreversibility
• Model of speculative strategy of currency department of bank

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