Optimal cash holding decision with uncertain control

Abstract

The decision-making of cash holdings is very important for the daily operation of enterprises. This present paper tries to establish uncertain optimal cash holding models with the constraint of safe cash holding area, and discusses the solutions of the models by establishing Lagrange function under KKT condition. On the one hand, this paper enriches the existing cash holding models, on the other hand, it is also a comprehensive discussion on the application of uncertainty theory in cash holding management.

Keywords:

• Cash holding
• uncertain model
• safe area
• Lagrange function

Acknowledgments

The authors are grateful to both referees and the editor, for all useful comments and suggestions, which have greatly helped to improve the presentation of this paper.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

This research was partially supported by the National Natural Science Foundation of China [grant numbers 11871275, 71472088].

Notes on contributors

Zhengyan Wang

Zhengyan Wang (1982–), female, first author, associate professor, doctoral candidate, principal research directions include stochastic control, optimal decision-making, mathematical finance.

Guanghua Xu

Guanghua Xu (1963–), male, corresponding author, professor, doctoral supervisor, principal research directions include performance evaluation, corporate finance and management accounting.