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Financial systems in continuous time: modelling cash stream
School of Information Systems and Management Science, Faculty of Commerce and Administration, Griffith University, Australia.
1995 (English)In: IFAC/IFIP/IFORS/SEDC Symposium on Modelling and Control of National and Regional Economies 1995, 1995, Vol. 28:7, p. 127-132Conference paper, Published paper (Refereed)
Abstract [en]

Despite the emphasis on securities rather than on cash streams in general financialtheories, the concept of cash stream remains useful in modelling realistic financial decision problems.The paper presents a unified view on cash stream modelling, valid in both continuous and discretetime, in the standard analytical framework of Schwartz distributions. Abstract cash stream spacesare defined by stipulating certain general properties, and are then identified as some well-knownLebesgue lattices of measures on the real line. All basic financial notions such as discounting orpreference ordering carry over to the general case, and the linear decision problems become instancesof infinite-dimensional linear programming.

Place, publisher, year, edition, pages
1995. Vol. 28:7, p. 127-132
Keywords [en]
nancial systems, Mathematical models, Mathematical programming, Optimization problems
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:mdh:diva-3001DOI: 10.1016/S1474-6670(17)47101-1OAI: oai:DiVA.org:mdh-3001DiVA, id: diva2:115665
Conference
IFAC/IFIP/IFORS/SEDC Symposium on Modelling and Control of National and Regional Economies 1995, Gold Coast, Queensland, Australia, 2-5 July 1995
Available from: 2008-03-08 Created: 2008-03-08 Last updated: 2022-10-27Bibliographically approved

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Bonner, Richard

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