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| Author: | Hinderer, K. Waldmann, K.-H. |
| Title: | Cash management in a randomly varying environment |
| Journal: | European Journal of Operational Research
2001 : MAY 1, VOL. 130:3, p. 468-485 |
| Index terms: | CASH MANAGEMENT MARKOV CHAINS DYNAMIC PROGRAMMING |
| Language: | eng |
| Abstract: | This paper studies a cash management system, in which the distribution of the cash flow Xn in period n=1,2,3... depends on the state In of a randomly varying environment. Sufficient conditions are found for the optimality of a simple transfer rule, generalizing and partially improving the well-known results for the classical case i.i.d. cash flows. These and further structural results obtained for the cash balance are shown to reduced the computational effort drastically derived. Some examples are given for economic and statistical environments and their interactions with the cash flow process. |
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