Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142764 | Operations Research Letters | 2009 | 5 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Alain Bensoussan, Anshuman Chutani, Suresh P. Sethi,