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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Vydané v:	Computers & operations research Ročník 153; s. 106162
Hlavní autori:	Luo, Xuyang, Song, Chunyue
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier Ltd 01.05.2023
Predmet:	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
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