Dynamic Programming Models and Algorithms for the Mutual Fund Cash Balance Problem

@article{Nascimento2010DynamicPM,
  title={Dynamic Programming Models and Algorithms for the Mutual Fund Cash Balance Problem},
  author={Juliana M. Nascimento and Warren B. Powell},
  journal={Management Science},
  year={2010},
  volume={56},
  pages={801-815}
}
Fund managers have to decide the amount of a fund's assets that should be kept in cash, considering the trade-off between being able to meet shareholder redemptions and minimizing the opportunity cost from lost investment opportunities. In addition, they have to consider redemptions by individuals as well as institutional investors, the current performance of the stock market and interest rates, and the pattern of investments and redemptions that are correlated with market performance. We… CONTINUE READING

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