A disutility-based drift control for exchange rates
Journal article
Castellano, R, Cerqueti, R and D'Ecclesia, R. L (2014). A disutility-based drift control for exchange rates. Optimization. 63 (2), pp. 255-269. https://doi.org/10.1080/02331934.2011.641016
Authors | Castellano, R, Cerqueti, R and D'Ecclesia, R. L |
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Abstract | In this paper we propose an exchange rate model as solution of a disutility based drift control problem. Given the exchange rate is a function of the fundamental, we assume Government Authorities control the fundamental dynamics aimed at minimizing the discounted expected disutility caused by the distance between the fundamental and some specific target. The theoretical model is solved using the This is an Accepted Manuscript of an article published by Taylor & Francis in Optimization on 06 January 2012, available online: http://www.tandfonline.com/10.1080/02331934.2011.641016 |
Keywords | Drift control; Dynamic programming; Viscosity solutions; Stabilization policies; Exchange rates |
Year | 2014 |
Journal | Optimization |
Journal citation | 63 (2), pp. 255-269 |
Publisher | Informa UK Limited |
ISSN | 0233-1934 |
Digital Object Identifier (DOI) | https://doi.org/10.1080/02331934.2011.641016 |
Publication dates | |
Feb 2014 | |
Online | 06 Jan 2012 |
Publication process dates | |
Accepted | 08 Nov 2011 |
Deposited | 01 Apr 2020 |
Accepted author manuscript | License File Access Level Open |
https://openresearch.lsbu.ac.uk/item/896q7
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