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The Optimal Bank Liquidity: A Multi-Period Stochastic Model

Published online by Cambridge University Press:  19 October 2009

Hans G. Daellenbach  and
Stephen H. Archer
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Extract

The purpose of this paper is to construct a model for the computation of an optimal cash balance for a bank, although it could be adapted to any organization. By a bank we mean to include both commercial banks and savings banks (mutual savings banks and savings and loan associations). One might also be able to adapt the model to an “international bank” such as the United States holdings of gold and foreign exchange.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 4 , Issue 3 , September 1969 , pp. 329 - 343
Copyright
Copyright © School of Business Administration, University of Washington 1969

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References

1.Cohen, Kalman J., and Hammer, Frederick S., Analytical Methods in Banking (Homewood, Ill.: Richard D. Irwin, Inc., 1966).Google Scholar
2.Daellenbach, Hans G., “Short-Term Cash Planning — A Deterministic Model,” Working Paper.Google Scholar