Optimal Impulse Control for Cash Management with Two Sources of Short-term Funds
Many firms face a problem of managing cash balances to maximize the availability of cash for investment and to avoid the risk of insolvency.In this paper,we consider a cash man agement model in which the two types of funds are available when a manager adjusts cash level.We suppose that the rate of utilizing the two funds for the amount of adjustment is constant. Our objective is to minimize the expected discounted costs over an infinite horizon.We formulate this cash balance management problem as an impulse control problem and then derive an optimal cash management policy.We show the existence of an optimal policy and demonstrate it numerically.
Cash management Impulse control Stochastic model Quasi-variational inequality
Kimitoshi Sato Katsushige Sawaki
Graduate School of Mathematical Sciences and Information Engineering,Nanzan University,27 Seirei-cho Graduate School of Business Administration,Nanzan University,18 Yamazato-cho,Showa-ku,Nagoya 466-867
国际会议
张家界
英文
323-331
2009-09-20（万方平台首次上网日期，不代表论文的发表时间）