Search results for "Cash management"

showing 2 items of 12 documents

Selecting the best risk measure in multiobjective cash management

2018

Risk analysis0209 industrial biotechnology021103 operations researchActuarial scienceComputer scienceStrategy and ManagementRisk measure0211 other engineering and technologies02 engineering and technologyManagement Science and Operations ResearchComputer Science Applications020901 industrial engineering & automationManagement of Technology and InnovationGoal programmingBusiness and International ManagementCash managementInternational Transactions in Operational Research
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Optimal Index Tracking Under Transaction Costs and Impulse Control

1998

We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error with respect to an index portfolio. The cash weight is constantly fluctuating due to the stochastic inflow and outflow of dividends and liabilities. We show the existence of an optimal strategy and compute it numerically.

Transaction costMathematical optimizationActuarial scienceIndex (economics)media_common.quotation_subjectImpulse controlTracking errorCashEconomicsPortfolioProject portfolio managementCash managementGeneral Economics Econometrics and FinanceFinancemedia_commonInternational Journal of Theoretical and Applied Finance
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