Cash management using multi-stage stochastic programming

DOI10.1080/14697680802637908zbMath1198.91224OpenAlexW3125931943MaRDI QIDQ5190135

Robert Ferstl, Alex Weissensteiner

Publication date: 12 March 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22146

zbMATH Keywords

change of measurescenario generationmarket price of riskstochastic linear programmingcash managementdynamic stochastic programming

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (6)

Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ A multistage stochastic programming framework for cardinality constrained portfolio optimization ⋮ The future of branch cash holdings management is here: new Markov chains ⋮ No-arbitrage conditions, scenario trees, and multi-asset financial optimization ⋮ A combined stochastic programming and optimal control approach to personal finance and pensions ⋮ Competitive difference analysis of the cash management problem with uncertain demands

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