Title of article :
The Asymptotic Behavior of the Optimal Cash Holding Strategy Under a Class of Utility Functions
Author/Authors :
Di ، Shihan Department of Applied Mathematics - Nanjing University of Science and Technology , Xiang ، Yingxue Department of Applied Mathematics - Nanjing University of Science and Technology , Zhao ، Peibiao Department of Applied Mathematics - Nanjing University of Science and Technology
Abstract :
The present paper makes a research on the optimal cash holding problem in the continuous time under a class of utility functions, and verifies that the limit of the optimal cash holding strategy under a class of utility functions is equal to the optimal cash holding strategy under the power utility function. An empirical analysis is stated at the end of this paper.
Keywords :
Cash holding , Duality theory , HJB equation ,
Journal title :
Bulletin of the Iranian Mathematical Society
Journal title :
Bulletin of the Iranian Mathematical Society
