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Computation of solutions to dynamic models with occasionally binding constraints.

Holden, Tom D. - 2016 - This version: 3 April 2016

We construct the first algorithm for the perfect foresight solution of otherwise linear models with occasionally binding constraints, with fixed terminal conditions, that is guaranteed to return a solution in finite time, if one exists. We also provide a proof of the inescapability of the "curse...

Persistent link: https://www.econbiz.de/10011452243

Existence and uniqueness of solutions to dynamic models with occasionally binding constraints.

Holden, Tom D. - 2017 - This version: 23 August 2017

We present the first necessary and sufficient conditions for there to be a unique perfect-foresight solution to an otherwise linear dynamic model with occasionally binding constraints, given a fixed terminal condition. We derive further results on the existence of a solution in the presence of...

Persistent link: https://www.econbiz.de/10011717372

Optimization of Constrained Liquidity Management

Tawfik, Maged - 2018

A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is … subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …

Persistent link: https://www.econbiz.de/10012932264