Baumol's model for cash management with random value of transactions
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86099316" target="_blank" >RIV/61989100:27510/16:86099316 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Baumol's model for cash management with random value of transactions
Original language description
The paper is devoted to the active approach to cash management and it extends the model of Baumol by the assumption that the value of the transactions is considered as a random. It is replaced with a daily random value of transaction which is assumed that it follows log-normal, exponential, gamma and Weibull distribution. All parameters are estimated using maximum likelihood method and tested by two-way Kolmogorov-Smirnov test whether the estimated distributions correspond to the observations. Further, the value of total costs and the optimal value of cash withdrawal are calculated according to the particular distribution as well as total costs at a various confidence level. As a result of the experiment, it is concluded that the assumption of distribution is not relevant to determine the optimal value of cash withdrawal and it is crucial only when the total costs on confidence level are of interest.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Managing and Modelling of Financial Risks : proceedings of the 8th international scientific conference : September 5-6, 2016, Ostrava, Czech Republic
ISBN
978-80-248-3994-3
ISSN
2464-6970
e-ISSN
2464-6989
Number of pages
8
Pages from-to
1039-1046
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 5, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000429179000041