Portfolio Models with Stochastic Cash Demands

The problem of unifying portfolio planning and transaction demands for cash in a single model is considered. We distinguish between portfolio selection and portfolio revision problems. Each problem is formulated as a single-period model allowing exogenous stochastic cash demands and: (1) deterministic returns on the earning assets, (2) stochastic returns on the earning assets. Thus, four single-period models are presented. An analytic solution for one of the models is derived, and numerical examples given. The other models are nonlinear programming problems, two of which are computationally tractable. Implication's of the models are discussed.

• 저널Management Science · 19(3) · 319–332
• 토픽Economic theories and models · Economics and Econometrics
• DOI10.1287/mnsc.19.3.319
• 저자Andrew H. Y. Chen, Prank C. Jen, Stanley Zionts