This paper describes the form of the optimal operating policy for a three asset cash balance problem in which (1) holding and penalty costs are proportional to the level of the cash balance, (2) the costs incurred in transferring funds between cash and earning assets are proportional to the...

Recently evidence has come forth which suggests that empirical probability distributions of returns on securities conform better to stable Paretian distributions with infinite variances than to the normal distribution. Using a generalized form of a technique proposed by Sharpe [17] in a recent...