Three Asset Cash Balance and Dynamic Portfolio Problems

DOI10.1287/mnsc.17.5.311zbMath0213.46003OpenAlexW2013640181MaRDI QIDQ5615824

Gary D. Eppen, Eugene Fama

Publication date: 1971

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.17.5.311

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (6)

Solving a fractional programming problem in a commercial bank ⋮ A bi-level optimization model for the asset-liability management of insurance companies ⋮ Anwendungen des Maximumprinzips im Operations Research. I ⋮ Bank asset and liability management under uncertainty ⋮ Optimal cash management under uncertainty ⋮ Undiscounted approximations of discounted regenerative models

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