Stochastic Cash Management with Fixed and Proportional Transaction Costs

George Constantinides

Management Science, 1976, vol. 22, issue 12, 1320-1331

Abstract: A continuous time model of cash management is formulated with stochastic demand and allowing for positive and negative cash balances. The form of the optimal policy is assumed to be of a simple form (d, D, U, u). The parameters of the optimal policy are explicitly evaluated and the properties of the system are discussed.

Date: 1976
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:22:y:1976:i:12:p:1320-1331

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