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Optimal cash holding model based on minimization of ruin probability - MaRDI portal

Optimal cash holding model based on minimization of ruin probability

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Publication:6654463

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DOI10.18514/mmn.2024.4372MaRDI QIDQ6654463

Peibiao Zhao, Yan Zhang, Zhengyan Wang

Publication date: 18 December 2024

Published in: Miskolc Mathematical Notes (Search for Journal in Brave)

zbMATH Keywords

ruin probability dynamic stochastic programming safe area the optimal cash holding

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Portfolio theory (91G10)

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