IE interfaces (산업공학)

Korean Institute of Industrial Engineers (대한산업공학회)
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Optimal Control for Cash Management with Investment and Retrieval

투자와 회수를 고려한 기업의 최적 현금 관리

  • Kim, Eun-Gab (College of Business Administration, Ewha Womans University) ;
  • Byun, Jin-Ho (College of Business Administration, Ewha Womans University) ;
  • Pae, Jae-Hyun (College of Business Administration, Ewha Womans University)
  • 김은갑 (이화여자대학교 경영대학) ;
  • 변진호 (이화여자대학교 경영대학) ;
  • 배재현 (이화여자대학교 경영대학)
  • Received : 2011.05.14
  • Accepted : 2011.08.05
  • Published : 2011.12.01
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Abstract

We develop a cash management model in which firms face randomly occurred investment projects and retrieve investments upon the maturity of these projects. Using the Markov Decision Problem approach, we examine a control policy which dynamically adjusts the cash balance under the discounted cost criterion. The existence of an optimal policy is shown under some conditions. The optimal solution procedure is developed to find the optimal points and the optimal sizes for adjusting the cash balance. In numerical experiment, we investigate important structural properties of the optimal cash management policy.

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References

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