Stochastic Cash Management with Fixed and Proportional Transaction Costs

George M. Constantinides
George M. Constantinides
Carnegie-Mellon University
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Carnegie-Mellon University

Published Online:1 Aug 1976https://doi.org/10.1287/mnsc.22.12.1320

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.

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Volume 22, Issue 12

August 1976

Pages 1289-1396

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Published Online:August 01, 1976

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George M. Constantinides, (1976) Stochastic Cash Management with Fixed and Proportional Transaction Costs. Management Science 22(12):1320-1331.

https://doi.org/10.1287/mnsc.22.12.1320

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Stochastic Cash Management with Fixed and Proportional Transaction Costs

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Volume 22, Issue 12

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