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Optimal cash management under uncertainty
15 references·2 citing·39 second hop
Optimal cash management under uncertainty (2009)Optimal cash management under uncertaintyOptimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach (2005)Optimality of an $(s, S)$ Pol…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…Lectures on stochastic control (1982)Lectures on stochastic controlSome Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work (1981)Some Examples of Optimal Stoc…Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time (1978)Existence of Optimal Simple P…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Stochastic Cash Management with Fixed and Proportional Transaction Costs (1976)Stochastic Cash Management wi…Three Asset Cash Balance and Dynamic Portfolio Problems (1971)Three Asset Cash Balance and …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Solutions for Cash-Balance and Simple Dynamic-Portfolio Problems (1968)Solutions for Cash-Balance an…A Model of the Demand for Money by Firms (1966)A Model of the Demand for Mon…The Interest-Elasticity of Transactions Demand For Cash (1956)The Interest-Elasticity of Tr…The Transactions Demand for Cash: An Inventory Theoretic Approach (1952)The Transactions Demand for C…Optimal cash management with uncertain, interrelated and bounded demands (2019)Optimal cash management with …Application of network flow models for the cash management of an agribusiness company (2011)Application of network flow m…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introduction to stochastic control (1971)MARKET RISK ADJUSTMENT IN PROJECT VALUATION (1978)Instantaneous Control of Brownian Motion (1983)The Optimality of (S,s) Policies in the Dynamic Inventory Problem (2005)Stochastic Differential Equations (2006)Sheltering Corporate Assets from Political Extraction (2011)On Square Integrable Martingales (1967)Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients (1995)On solutions of backward stochastic differential equations with jumps and applications (1997)Stochastic maximum principle in the mean-field controls (2011)Dynamic Econometrics (1995)Do Firms Rebalance Their Capital Structures? (2005)A Model of the Consumption Response to Fiscal Stimulus Payments (2014)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Arbitrage Theory in Continuous Time (2004)Inflation and Welfare (2000)The Cointegrated VAR Model: Methodology and Applications (2006)Optimization Problems in the Theory of Continuous Trading (1989)Hedging in incomplete markets with HARA utility (1997)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)A Theoretical Framework for Monetary Analysis (1970)BANKING PANICS AND BUSINESS CYCLES * (1988)Monetary Theory and Policy (1999)
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References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1952The Transactions Demand for Cash: An Inventory Theoretic Approach2,353 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1956The Interest-Elasticity of Transactions Demand For Cash1,489 cited
  • 1966A Model of the Demand for Money by Firms1,338 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited
  • 1982Lectures on stochastic control249 cited
  • 1978Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time186 cited
  • 2005Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach111 cited
  • 1976Stochastic Cash Management with Fixed and Proportional Transaction Costs97 cited
  • 1968Solutions for Cash-Balance and Simple Dynamic-Portfolio Problems76 cited
  • 1971Three Asset Cash Balance and Dynamic Portfolio Problems70 cited
  • 1981Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work

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Cited by

  • 2011Application of network flow models for the cash management of an agribusiness company18 cited
  • 2019Optimal cash management with uncertain, interrelated and bounded demands13 cited