Affordable Access

Optimal Cash Management Under Uncertainty

Publication Date
  • G31 - Capital Budgeting
  • Fixed Investment And Inventory Studies
  • Capacity
  • E22 - Capital
  • Investment
  • Capacity
  • C02 - Mathematical Methods
  • C61 - Optimization Techniques
  • Programming Models
  • Dynamic Analysis
  • D92 - Intertemporal Firm Choice And Growth
  • Financing
  • Investment
  • And Capacity
  • D14 - Personal Finance
  • Mathematics


We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain explicitly the optimal transaction policy.

There are no comments yet on this publication. Be the first to share your thoughts.