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Equivalent Formulations of the Stochastic Cash Balance Problem

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  • Evan L. Porteus

    (Stanford University)

Abstract

This paper shows that the widely appearing "marginal cost" formulations of the dynamic, periodic review, stochastic cash balance problem are equivalent to a "total cost" formulation, as long as the holding, shortage cost, and "closing of account" functions are constructed correctly.

Suggested Citation

  • Evan L. Porteus, 1972. "Equivalent Formulations of the Stochastic Cash Balance Problem," Management Science, INFORMS, vol. 19(3), pages 250-253, November.
    • Handle: RePEc:inm:ormnsc:v:19:y:1972:i:3:p:250-253
    DOI: 10.1287/mnsc.19.3.250
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    Cited by:

    1. Omar Besbes & Dan A. Iancu & Nikolaos Trichakis, 2018. "Dynamic Pricing Under Debt: Spiraling Distortions and Efficiency Losses," Management Science, INFORMS, vol. 64(10), pages 4572-4589, October.
    2. Lode Li & Martin Shubik & Matthew J. Sobel, 2013. "Control of Dividends, Capital Subscriptions, and Physical Inventories," Management Science, INFORMS, vol. 59(5), pages 1107-1124, May.
    3. Dan A. Iancu & Nikolaos Trichakis & Gerry Tsoukalas, 2017. "Is Operating Flexibility Harmful Under Debt?," Management Science, INFORMS, vol. 63(6), pages 1730-1761, June.

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