Baumol's model for cash management with random value of transactions

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Baumol's model for cash management with random value of transactions

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Baumol's model for cash management with random value of transactions

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Výzkumný tým pro modelování ekonomických a finančních procesů na VŠB-TU Ostrava</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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

Počet stran výsledku

8

Strana od-do

1039-1046

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

5. 9. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000429179000041