The asymptotic behavior of the optimal cash holding strategy under a class of utility functions

DOI10.1007/S41980-021-00550-6zbMath1494.91175OpenAlexW3154533593MaRDI QIDQ2151478

Yingxue Xiang, Peibiao Zhao, Shihan Di

Publication date: 1 July 2022

Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s41980-021-00550-6

zbMATH Keywords

duality theoryHJB equationcash holding

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

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• Controlled Markov processes and viscosity solutions
• Optimal Money Holding under Uncertainty
• The Stochastic Cash Balance Problem with Average Compensating-Balance Requirements
• Transactions Demand for Money with a Stochastic, Time-Varying Interest Rate
• On Optimal Cash Management under a Stochastic Volatility Model
• Optimal Cash Balance Levels
• Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs

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