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The Optimal Bank Liquidity: A Multi-Period Stochastic Model

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  • Daellenbach, Hans G.
  • Archer, Stephen H.

Abstract

The purpose of this paper is to construct a model for the computation of an optimal cash balance for a bank, although it could be adapted to any organization. By a bank we mean to include both commercial banks and savings banks (mutual savings banks and savings and loan associations). One might also be able to adapt the model to an “international bank” such as the United States holdings of gold and foreign exchange.

Suggested Citation

  • Daellenbach, Hans G. & Archer, Stephen H., 1969. "The Optimal Bank Liquidity: A Multi-Period Stochastic Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(3), pages 329-343, September.
    • Handle: RePEc:cup:jfinqa:v:4:y:1969:i:03:p:329-343_01
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    Cited by:

    1. David R. Cariño & William T. Ziemba, 1998. "Formulation of the Russell-Yasuda Kasai Financial Planning Model," Operations Research, INFORMS, vol. 46(4), pages 433-449, August.
    2. HuiChen Chiang, 2007. "Financial intermediary's choice of borrowing," Applied Economics, Taylor & Francis Journals, vol. 40(2), pages 251-260.

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