Ferstl, Robert and Weissensteiner, Alex (2010) Cash management using multi-stage stochastic programming. QUANTITATIVE FINANCE, 10 (2): PII 911729. pp. 209-219. ISSN 1469-7688, 1469-7696
Full text not available from this repository. (Request a copy)Abstract
We consider a cash management problem where a company with a given financial endowment and given future cash flows minimizes the Conditional Value at Risk of final wealth using a lower bound for the expected terminal wealth. We formulate the optimization problem as a multi-stage stochastic linear program (SLP). The company can choose between a riskless asset (cash), several default- and option-free bonds, and an equity investment, and rebalances the portfolio at every stage. The uncertainty faced by the company is reflected in the development of interest rates and equity returns. Our model has two new features compared to the existing literature, which uses no-arbitrage interest rate models for the scenario generation. First, we explicitly estimate a function for the market price of risk and change the underlying probability measure. Second, we simulate scenarios for equity returns with moment-matching by an extension of the interest rate scenario tree.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | BOND PORTFOLIO MANAGEMENT; LIABILITY MANAGEMENT; MARKET PRICE; CREDIT RISK; MODEL; SIMULATION; SECURITIES; ASSET; Dynamic stochastic programming; Stochastic linear programming; Cash management; Market price of risk; Change of measure; Scenario generation |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 24 Aug 2020 09:06 |
| Last Modified: | 24 Aug 2020 09:06 |
| URI: | https://pred.uni-regensburg.de/id/eprint/25615 |
Actions (login required)
 |
View Item |
