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.
    • Correction
    • Source
    • Cite
    • Save
    • Machine Reading By IdeaReader
    0
    References
    0
    Citations
    NaN
    KQI
    []