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Dynamic programming models and algorithms for the mutual fund cash balance problem

Juliana Nascimento, Auteur ; Warren Powell, Auteur |

Dans Management science (Vol. 56 N° 5, Mai 2010)

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 addit[...]

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