Portfolio Models with Stochastic Cash Demands

Andrew H. Y. Chen, Prank C. Jen and Stanley Zionts
Additional contact information
Andrew H. Y. Chen: State University of New York at Buffalo
Prank C. Jen: State University of New York at Buffalo
Stanley Zionts: State University of New York at Buffalo

Management Science, 1972, vol. 19, issue 3, 319-332

Abstract: The problem of unifying portfolio planning and transaction demands for cash in a single model is considered. We distinguish between portfolio selection and portfolio revision problems. Each problem is formulated as a single-period model allowing exogenous stochastic cash demands and: (1) deterministic returns on the earning assets, (2) stochastic returns on the earning assets. Thus, four single-period models are presented. An analytic solution for one of the models is derived, and numerical examples given. The other models are nonlinear programming problems, two of which are computationally tractable. Implication's of the models are discussed.

Date: 1972
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.19.3.319 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:19:y:1972:i:3:p:319-332

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().