Optimal impulse control for cash management with quadratic holding-penalty costs
type: Item
instance of: scholarly article
title: Optimal impulse control for cash management with quadratic holding-penalty costs
zbMATH Open document ID: 1016.93071
author: Stefano Baccarin
published in: Decisions in Economics and Finance
publication date: 2003-07-24T00:00:00Z
review text: The stochastic cash balance problem concerns the optimal monitoring of a cash fund which fluctuates randomly because it collects various types of income and is used as a source to make operating disbursements. The problem is to minimize the discounted expected sum of all the costs associated with this cash balance problem. Here, a general formulation of the cash balance problem is given where attention is focused on the financial management of the liquid (and essentially risk-free) assets of a firm. Optimal impulse control is studied for an infinite horizon cash management problem with the cash fund fluctuating as a Browninan motion. The main result is that there is always an optimal control for the cash management model with quadratic holding-penalty costs (there are fixed and proportional transaction costs), and that it has always the form of a control band policy.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 49K45
zbMATH DE Number: 1885714
zbMATH Keywords: optimal impulse control
zbMATH Keywords: cash management
zbMATH Keywords: quadratic holding-penalty costs
zbMATH Keywords: infinite horizon
zbMATH Keywords: control band policy
reviewed by: Anatoliy Swishchuk
MaRDI profile type: Publication
full work available at URL: s102030200001
OpenAlex ID: W2036635507
DOI: 10.1007/S102030200001
description: scientific article; zbMATH DE number 1885714