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
From page
849
To page
884
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
Record number
2750970
Link To Document