Three Asset Cash Balance and Dynamic Portfolio Problems

DOI10.1287/MNSC.17.5.311MaRDI QIDQ5615824zbMATH OpenOpenAlexFDO

Authors Gary D. Eppen, Eugene Fama

Publication date 1971

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.17.5.311

Mathematics Subject Classification ID

Economic growth models (91B62)

Cited in

(6)

• Optimal cash management under uncertainty
• Undiscounted approximations of discounted regenerative models
• Anwendungen des Maximumprinzips im Operations Research. I
• Bank asset and liability management under uncertainty
• Solving a fractional programming problem in a commercial bank
• A bi-level optimization model for the asset-liability management of insurance companies

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