A Note on Modeling Simple Dynamic Cash Balance Problems

B-Tier
Journal: Journal of Financial and Quantitative Analysis
Year: 1973
Volume: 8
Issue: 4
Pages: 685-687

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In [2]Sethi and Thompson illustrated the applications of the maximum principle to solve simple dynamic cash balance problems. In Section IV of that paper, we introduced the idea of penalty function to solve the cash balance problem with bounded state variables arising out of disallowing overdrafts and short selling. This resulted in the adjoint equations containing terms in the state variables x(t) and y(t). We then stated the need for solving a two-point boundary value problem.

Technical Details

RePEc Handle
repec:cup:jfinqa:v:8:y:1973:i:04:p:685-687_01
Journal Field
Finance
Author Count
1
Added to Database
2026-01-29