Optimal decision-making of mutual fund temporary borrowing problem via approximate dynamic programming

DOI10.1016/j.cor.2023.106162OpenAlexW4318017338MaRDI QIDQ6164369

Chunyue Song, Xuyang Luo

Publication date: 4 July 2023

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2023.106162

zbMATH Keywords

uncertaintyfinanceapproximate dynamic programmingmutual fund redemption risk managementtemporary borrowing

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal cash management under uncertainty
• A convex version of multivariate adaptive regression splines
• Multi-period technician scheduling with experience-based service times and stochastic customers
• Simulation-based algorithms for Markov decision processes
• An approximate dynamic programming approach to the admission control of elective patients
• Dynamic-Programming Approximations for Stochastic Time-Staged Integer Multicommodity-Flow Problems
• Integrated Optimization of Procurement, Processing, and Trade of Commodities
• Approximate Dynamic Programming
• Dynamic Programming Models and Algorithms for the Mutual Fund Cash Balance Problem
• An Adaptive Dynamic Programming Algorithm for Dynamic Fleet Management, II: Multiperiod Travel Times
• Provably Near-Optimal Sampling-Based Policies for Stochastic Inventory Control Models
• Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs
• Cash management in a randomly varying environment