IDEAS home Printed from https://ideas.repec.org/r/inm/ormnsc/v22y1976i12p1320-1331.html
   My bibliography  Save this item

Stochastic Cash Management with Fixed and Proportional Transaction Costs

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Ben A. Chaouch, 2018. "Analysis of the stochastic cash balance problem using a level crossing technique," Annals of Operations Research, Springer, vol. 271(2), pages 429-444, December.
  2. Jukka Isohätälä & Alistair Milne & Donald Robertson, 2020. "The Net Worth Trap: Investment and Output Dynamics in the Presence of Financing Constraints," Mathematics, MDPI, vol. 8(8), pages 1-32, August.
  3. Fleischmann, Moritz & Kuik, Roelof, 2003. "On optimal inventory control with independent stochastic item returns," European Journal of Operational Research, Elsevier, vol. 151(1), pages 25-37, November.
  4. Opler, Tim & Pinkowitz, Lee & Stulz, Rene & Williamson, Rohan, 1999. "The determinants and implications of corporate cash holdings," Journal of Financial Economics, Elsevier, vol. 52(1), pages 3-46, April.
  5. Stanley Pliska & Kiyoshi Suzuki, 2004. "Optimal tracking for asset allocation with fixed and proportional transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 233-243.
  6. Bensoussan, Alain & Chutani, Anshuman & Sethi, Suresh, 2009. "Optimal Cash Management Under Uncertainty," MPRA Paper 19896, University Library of Munich, Germany.
  7. Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45.
  8. Haolin Feng & Kumar Muthuraman, 2010. "A Computational Method for Stochastic Impulse Control Problems," Mathematics of Operations Research, INFORMS, vol. 35(4), pages 830-850, November.
  9. repec:zbw:bofrdp:2014_026 is not listed on IDEAS
  10. Lorenzo Caprio & Mara Faccio & John J. McConnell, 2013. "Sheltering Corporate Assets from Political Extraction," The Journal of Law, Economics, and Organization, Oxford University Press, vol. 29(2), pages 332-354, April.
  11. Art Durnev & Vihang Errunza & Alexander Molchanov, 2009. "Property rights protection, corporate transparency, and growth," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 40(9), pages 1533-1562, December.
  12. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
  13. Fleischmann, Moritz & Bloemhof-Ruwaard, Jacqueline M. & Dekker, Rommert & van der Laan, Erwin & van Nunen, Jo A. E. E. & Van Wassenhove, Luk N., 1997. "Quantitative models for reverse logistics: A review," European Journal of Operational Research, Elsevier, vol. 103(1), pages 1-17, November.
  14. Alain Bensoussan & Benoît Chevalier-Roignant, 2019. "Sequential Capacity Expansion Options," Operations Research, INFORMS, vol. 67(1), pages 33-57, January.
  15. Isohätälä, Jukka & Milne, Alistair & Robertson, Donald, 2014. "The net worth trap: investment and output dynamics in the presence of financing constraints," Research Discussion Papers 26/2014, Bank of Finland.
  16. Sandun Perera & Winston Buckley & Hongwei Long, 2018. "Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps," Annals of Operations Research, Springer, vol. 262(1), pages 213-238, March.
  17. Korniotis, George & Bonaparte, Yosef & Kumar, Alok, 2020. "Income Risk and Stock Market Entry/Exit Decisions," CEPR Discussion Papers 15370, C.E.P.R. Discussion Papers.
  18. Rim Bernoussi & Michael Rockinger, 2023. "Rebalancing with transaction costs: theory, simulations, and actual data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(2), pages 121-160, June.
  19. Inderfurth, Karl & van der Laan, Erwin, 2001. "Leadtime effects and policy improvement for stochastic inventory control with remanufacturing," International Journal of Production Economics, Elsevier, vol. 71(1-3), pages 381-390, May.
  20. Abel Cadenillas & Peter Lakner & Michael Pinedo, 2010. "Optimal Control of a Mean-Reverting Inventory," Operations Research, INFORMS, vol. 58(6), pages 1697-1710, December.
  21. Neil Geismar & Milind Dawande & Divakar Rajamani & Chelliah Sriskandarajah, 2007. "Managing a Bank's Currency Inventory Under New Federal Reserve Guidelines," Manufacturing & Service Operations Management, INFORMS, vol. 9(2), pages 147-167, March.
  22. Gormley, Fionnuala M. & Meade, Nigel, 2007. "The utility of cash flow forecasts in the management of corporate cash balances," European Journal of Operational Research, Elsevier, vol. 182(2), pages 923-935, October.
  23. Pinçe, Çerag & Gürler, Ülkü & Berk, Emre, 2008. "A continuous review replenishment-disposal policy for an inventory system with autonomous supply and fixed disposal costs," European Journal of Operational Research, Elsevier, vol. 190(2), pages 421-442, October.
  24. Arnon Archankul & Giorgio Ferrari & Tobias Hellmann & Jacco J. J. Thijssen, 2023. "Singular Control in a Cash Management Model with Ambiguity," Papers 2309.12014, arXiv.org.
  25. Shuangchi He & Dacheng Yao & Hanqin Zhang, 2017. "Optimal Ordering Policy for Inventory Systems with Quantity-Dependent Setup Costs," Mathematics of Operations Research, INFORMS, vol. 42(4), pages 979-1006, November.
  26. Jinbiao Wu, 2019. "Optimal exchange rates management using stochastic impulse control for geometric Lévy processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 89(2), pages 257-280, April.
  27. Melda Ormeci & J. G. Dai & John Vande Vate, 2008. "Impulse Control of Brownian Motion: The Constrained Average Cost Case," Operations Research, INFORMS, vol. 56(3), pages 618-629, June.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.