Risk Aversion in Stochastic Cash Management
2010
In this paper,we propose a framework for incorporating risk aversion in stochastic cash management problem.We characterize the structure of the optimal policy on the risk-averse stochastic cash management problem according to the consumption model,and show that the structure of the optimal policy for a decision maker with exponential utility functions is almost identical to that of the optimal policy for the risk-neutral model.
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