Optimal decision-making of mutual fund temporary borrowing problem via approximate dynamic programming

Temporary borrowing is a liquidity risk management tool for mutual fund managers to meet investor redemption demands. We develop a new Markov decision process model to describe the temporary borrowing process, considering the multiple lending channels, the validity period of loans, and the uncertain...

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Bibliographic Details

Published in:	Computers & operations research Vol. 153; p. 106162
Main Authors:	Luo, Xuyang, Song, Chunyue
Format:	Journal Article
Language:	English
Published:	Elsevier Ltd 01.05.2023
Subjects:	Approximate dynamic programming Finance Mutual fund redemption risk management Temporary borrowing Uncertainty Approximate dynamic programming Uncertainty Mutual fund redemption risk management Finance Temporary borrowing
ISSN:	0305-0548, 1873-765X
Online Access:	Get full text
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