Applications of Mathematical Control Theory to Finance
Auteur : Suresh P. Sethi, Gerald Luther Thompson
Date de publication : 1970
Éditeur : Management Sciences Research Group, Graduate School of Industrial Administration, Carnegie-Mellon University
Nombre de pages : 22
Résumé du livre
Several simple models, discrete and continuous, are proposed for the problem of cash balances. This is the problem of a firm which must meet its demand for cash at minimum discounted cost during a horizon period. It is assumed that surplus cash is invested in securities. The model is solved by application mathematical control theory and the optimal policy is shown to depend upon the ratio of products of the future discount factors for cash and securities. (Author).