The Stochastic Cash Balance Problem With Average Compensating-Balance Requirements (Classic Reprint) - Softcover

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Excerpt from The Stochastic Cash Balance Problem With Average Compensating-Balance Requirements

The problem under consideration involves the management of cash and short-term financial assets for a firm facing a compensating-balance te qnirement specified as an average balance over a number of days weekly, bi-weekly, or monthly). Daily net cash flows are partially1 un predictable and are treated as stochastic (specifically, as independent random variables). We consider only two assets: cash, and some interest bearing asset.

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