A diffusion approximation model for managing cash in firms: an alternative approach to the Miller-Orr model

DOI10.1016/S0377-2217(03)00109-7zbMath1106.91333MaRDI QIDQ1877037

I. M. Premachandra

Publication date: 16 August 2004

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

diffusion approximationfinancecash balancecash managementMiller-Orr model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (9)

A multi-objective approach to the cash management problem ⋮ On the use of multiple criteria distance indexes to find robust cash management policies ⋮ Model predictive control of cash balance in a cash concentration and disbursements system ⋮ A probabilistic approach to the stochastic fluid cash management balance problem ⋮ Selecting the best risk measure in multiobjective cash management ⋮ Analysis of the stochastic cash balance problem using a level crossing technique ⋮ Fitting random cash management models to data ⋮ Modeling of financial supply chain ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Optimal investment and consumption with transaction costs
• The parabolic differential equations and the associated semigroups of transformation
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• On an Investment-Consumption Model with Transaction Costs
• Optimal Cash Balance Levels
• The Stochastic Cash Balance Problem with Fixed Costs for Increases and Decreases
• Diffusion Processes in One Dimension

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