Dynamic Programming Models and Algorithms for the Mutual Fund Cash Balance Problem
Published Online:23 Mar 2010https://doi.org/10.1287/mnsc.1100.1143
References
- The cash flow sensitivity of cash. J. Finance (2004) 59(4):1777–1804Crossref, Google Scholar
- Optimal cash management under uncertainty. Oper. Res. Lett. (2009) 37(6):425–429Crossref, Google Scholar
- Interest Rate Models: An Introduction (2004) (Princeton University Press, Princeton, NJ) Crossref, Google Scholar
- Capital-market equilibrium with transaction costs. J. Political Econom. (1986) 94(4):842–862Crossref, Google Scholar
- Investor flows and the assessed performance of open-end mutual funds. J. Financial Econom. (1999) 53(3):439–466Crossref, Google Scholar
- Cash balance and simple dynamic portfolio problems with proportional costs. Internat. Econom. Rev. (1969) 10(2):119–133Crossref, Google Scholar
- Three asset cash balance and dynamic portfolio problems. Management Sci. (1971) 17(5):311–319Link, Google Scholar
- Corporate financial policy and the value of cash. J. Finance (2006) 61(4):1957–1990Crossref, Google Scholar
- Adaptive stepsizes for recursive estimation with applications in approximate dynamic programming. Machine Learn. (2006) 65(1):167–198Crossref, Google Scholar
- Models and solution techniques for cash flow management. Comput. Oper. Res. (1979) 6(1):13–20Crossref, Google Scholar
- Handbooks in Operations Research and Management Science: Logistics of Production and Inventory (1993) (North-Holland, Amsterdam) Google Scholar
- A fully polynomial-time approximation scheme for single-item stochastic inventory control with discrete demand. Math. Oper. Res. (2009) 34(3):674–685Link, Google Scholar
- Cash management in a randomly varying environment. Eur. J. Oper. Res. (2001) 130(18):468–485Crossref, Google Scholar
- Cash flow management network models with quantity discounting. Omega-Internat. J. Management Sci. (1994) 22(2):149–155Crossref, Google Scholar
- Numerical Methods in Economics (1998) (MIT Press, Cambridge, MA) Google Scholar
- The determinants of corporate liquidity: Theory and evidence. J. Financial Quant. Anal. (2001) 135(3):335–359Crossref, Google Scholar
- An optimal approximate dynamic programming algorithm for the lagged asset acquisition problem. Math. Oper. Res. (2009) 34(1):210–237Link, Google Scholar
- Optimal approximate dynamic programming algorithms for a general class of storage problems. (2007) . Technical report, Princeton University, Princeton, NJGoogle Scholar
- Myopic and stationary solutions for stochastic cash balance problems. Eur. J. Oper. Res. (1991) 52(2):155–166Crossref, Google Scholar
- Approximate Dynamic Programming: Solving the Curses of Dimensionality (2007) (John Wiley & Sons, New York) Crossref, Google Scholar
- Learning algorithms for separable approximations of stochastic optimization problems. Math. Oper. Res. (2004) 29(4):814–836Link, Google Scholar
- , Kontoghiorghes E. J., Rustem B., Siokos S. A multistage stochastic optimization model for the cash management problem. Computational Methods in Decision-Making Economics and Finance (2002) (Kluwer Academic, Dordrecht, The Netherlands) 49–75Crossref, Google Scholar
- Note on modeling simple dynamic cash balance problems. J. Financial Quant. Anal. (1973) 8(4):685–687Crossref, Google Scholar
- Applications of mathematical control theory to finance—Modeling simple dynamic cash balance problems. J. Financial Quant. Anal. (1970) 5(4–5):381–394Crossref, Google Scholar
- Optimal Control Theory: Applications to Management Science and Economics (2000) 2nd ed.(Kluwer Academic, Norwell, MA) Google Scholar
- Deterministic cash flow management—State-of-the-art and research directions. Omega-Internat. J. Management Sci. (1986) 14(2):145–166Crossref, Google Scholar
- Mutual fund performance: An empirical decomposition into stock-picking talent, style, transaction costs, and expenses. J. Finance (2000) 55(4):1655–1695Crossref, Google Scholar
- The economic role of commodity storage. Econom. J. (1982) 92(367):596–614Google Scholar
- The welfare effects of the introduction of storage. Quart. J. Econom. (1984) 99(1):169–192Crossref, Google Scholar
- The determinants and implications of mutual fund cash holdings: Theory and evidence. Financial Management (2006) 35(2):67–91Crossref, Google Scholar

