Skip to main content
SpringerLink
Log in

Financial Planning Via Stochastic Programming: A Stochastic Flows-With-Gains Approach

  • Conference paper
Risk and Capital

Part of the book series: Lecture Notes in Economics and Mathematical Systems ((LNE,volume 227))

  • 62 Accesses

Abstract

A stochastic version of a financial planning problem is explicitly handled by a stochastic flows-with-gains approach because it is hoped that the use of network flow formulations will increase the readiness of adoption of mathematical programming procedures in this area.

The possibility of using flows-with-gains for the formulation of financial decisions is known but its combination with stochastic programming, which allows a more realistic description of the stochastic aspects of the underlying problem, is new.

An example is included for illustration.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Albach, H.: Das optimale Investitionsbudget bei Unsicherheit, Zeitschrift für Betriebswirtschaft 37 (1967) 503–518.

    Google Scholar 

  2. Brick, I.E./ Mellon, W.G./ Surkis, J./ Mohl, M.: Optimal Capital Structure: A Multi-Period Programming Model for Use in Financial Planning, J. Banking & Finance 7 (1983) 45–67.

    Article  Google Scholar 

  3. Bühler, W.: Flexible Investitions-und Finanzplanung bei unvollkommen bekannten übergangswahrscheinlichkeiten, OR-Spektrum 2 (1981) 207–221.

    Article  Google Scholar 

  4. Christofides, N./ Hewins, R.D./ Salkin, G.R.: Graph Theoretic Approaches to Foreign Exchange Operations, J. of Financial & Quantitative Analysis XIV (1979) 481–500.

    Article  Google Scholar 

  5. Cleef, H.J./ Gaul, W.: A Stochastic Flow Problem, J. Information & Optimization Sc. 1 (1980) 229–270.

    Google Scholar 

  6. Cohen, K.J./ Maier, S.F./ Van Der Weide, J.H.: Recent Developments in Management Science in Banking, Management Sc. 27 (1981) 1097–1119.

    Google Scholar 

  7. Crum, R.L./ Klingman, D.D./ Tavis, L.A.: Implementation of Large-Scale Financial Planning Models: Solution Efficient Transformations, J. of Financial & Quantitative Analysis XIV (1979) 137–152.

    Article  Google Scholar 

  8. Denk, R.: Kurzfristige Finanzdisposition mit Hilfe von Transportmodellen, Zeitschrift für Betriebswirtschaft 48 (1978) 356–367.

    Google Scholar 

  9. Gaul, W.: Short Term Financial Planning under Uncertainty within a Graphtheoretical Framework, Discussion-paper 46, Institut für Entscheidungstheorie und Unternehmensforschung, Universität Karlsruhe (1983), modified version of a paper presented at the 2. Symposium of Money, Banking and Insurance, Karlsruhe (December 1982).

    Google Scholar 

  10. Golden, B./ Liberatore, M./ Lieberman, C.: Models and Solution Techniques for Cash Flow Management, Comput. & Ops. Res. 6 (1979) 13–20.

    Article  Google Scholar 

  11. Gregory, G.: Cash Flow Models: A Review, Omega 4 (1976) 643–656.

    Article  Google Scholar 

  12. Grinold, R.C.: Calculating Maximal Flows in a Network with Positive Gains, Operations Research 21 (1973) 528–541.

    Article  Google Scholar 

  13. Horst, R.: Devisenarbitrage als Flußprobleme, Zeitschrift für Operations Researcn 19 (1975a) 73–87.

    Article  Google Scholar 

  14. Horst, R.: Maximale Netzwerkflüsse mit Kantengewinnen, Operations Research Verfahren (Methods of Operations Research) XXI (1975b) 113–138.

    Google Scholar 

  15. Jarvis, J.J./ Jerzior, A.M.: Maximal Flow with Gains through a Special Network, Operations Research 20 (1972) 678–688.

    Article  Google Scholar 

  16. Jewell, W.S.: Optimal Flow through Networks with Gains, Operations Research 10 (1962) 476–499.

    Article  Google Scholar 

  17. Johnson, E.L.: Networks and Basis Solutions, Operations Research 14 (1966) 619–623.

    Article  Google Scholar 

  18. Kall, P.: Stochastic Linear Programming, Springer (1976).

    Google Scholar 

  19. Kallberg, J.G./ White, R.W./ Ziemba, W.T.: Short Term Financial Planning under Uncertainty, Management Sc. 28 (1982) 670–682.

    Google Scholar 

  20. Levy, H./Sarnat, M. (Eds.): Financial Decision Making under uncertainty, Academic Press (1977).

    Google Scholar 

  21. Mayeda, W./ Van Valkenburg, M.E.: Properties of Lossy Communication Nets, IEEE Transaction on Circuit Theory 12 (1965) 334–338.

    Google Scholar 

  22. Minieka, E.: Optimal Flow in a Network with Gains, Infor. Can. J. Oper. Res. 10 (1972) 171–178.

    Google Scholar 

  23. Onaga, K.: Dynamic Programming of Optimum Flows in Lossy Communication Nets, IEEE Transactions on Circuit Theory 13 (1966) 282–287.

    Google Scholar 

  24. Onaga, K.: Optimum Flows in General Communication Networks, J. Franklin Institute 283 (1967) 308–327.

    Article  Google Scholar 

  25. Orgler, Y.E.: Cash Management: Methods and Models, Wadsworth (1970).

    Google Scholar 

  26. Rutenberg, D.P.: Maneuvering Liquid Assets in a Multi-National Company: Formulation and Deterministic Solution Procedures, Management Sc. 16 (1970) B–671–B–684.

    Google Scholar 

  27. Sartoris, W.L./ Hill, N.C.: A Generalized Cash Flow Approach to Short-Term Financial Decisions, J. of Finance XXXVIII (1983) 349–360.

    Article  Google Scholar 

  28. Srinivasan, V.: A Transshipment Model for Cash Management Decisions, Management Sc. 20 (1974) 1350–1363.

    Google Scholar 

  29. Stancu-Minasian, I.M./ Wets, M.J.: A Research Bibliography in Stochastic Programming, Operations Research 24 (1976) 1078–1119.

    Article  Google Scholar 

  30. Truemper, K.: On Max Flows with Gains and Pure Min-Cost Flows, SIAM J. Appl. Math. 32 (1977) 450–456.

    Article  Google Scholar 

  31. Weingartner, M.: Mathematical Programming and the Analysis of Capital Budgeting Problems, Princeton University Press (1963).

    Google Scholar 

  32. Ziemba, W.T./Vickson, R.G. (Eds): Stochastic Optimization Models in Finance, Academic Press (1975).

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Institut für Entscheidungstheorie und Unternehmensforschung, Universität Karlsruhe, D-7500, Karlsruhe, Germany

    W. Gaul

Authors
  1. W. Gaul
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. Institut für Statistik und Mathematische Wirtschaftstheorie, Universität Augsburg, Memminger Str. 14, D-8900, Augsburg, Germany

    Günter Bamberg

  2. Abteilung Wirtschaftswissenschaften, Universität Ulm, Oberer Eselsberg N 25, D-7900, Ulm, Germany

    Klaus Spremann

Rights and permissions

Reprints and permissions

Copyright information

© 1984 Springer-Verlag Berlin Heidelberg

About this paper

Cite this paper

Gaul, W. (1984). Financial Planning Via Stochastic Programming: A Stochastic Flows-With-Gains Approach. In: Bamberg, G., Spremann, K. (eds) Risk and Capital. Lecture Notes in Economics and Mathematical Systems, vol 227. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-45569-8_13

Download citation

  • DOI: https://doi.org/10.1007/978-3-642-45569-8_13

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-12923-3

  • Online ISBN: 978-3-642-45569-8

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics

Search

Navigation