An application of dynamic programming principle in corporate international optimal investment and consumption choice problem.
Huang, Zongyuan, Wu, Zhen (2010)
Mathematical Problems in Engineering
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Displaying similar documents to “Maximizing banking profit on a random time interval.”
An application of dynamic programming principle in corporate international optimal investment and consumption choice problem.
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A stochastic programming approach to managing liquid asset portfolios
Helgard Raubenheimer, Machiel F. Kruger (2010)
Kybernetika
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Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over...
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Paknejad, Javad, Nasri, Farrokh, Affisco, John F. (2005)
Journal of Applied Mathematics and Decision Sciences
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