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Cash Management using Multi-Stage Stochastic Programming

Ferstl, Robert and Weissensteiner, Alex (2010) Cash Management using Multi-Stage Stochastic Programming. Quantitative Finance 10 (2), pp. 209-219.

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We consider a cash management problem where a company with a given financial endowment and given future cash flows minimizes the Conditional Value at Risk of final wealth using a lower bound for the expected terminal wealth. We formulate the optimization problem as a multi-stage stochastic linear program (SLP). The company can choose between a riskless asset (cash), several default- and ...


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Item Type:Article
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
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Keywords:Dynamic stochastic programming; Stochastic linear programming; Cash management; Market price of risk; Change of measure; Scenario generation
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Deposited On:08 Apr 2010 08:19
Last Modified:28 Sep 2010 13:04
Item ID:14092
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