确定目标现金余额：附录27A.pptx

DeterminingtheTargetCashBalanceAppendix27ACopyright?2010bytheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/Irwin

CostsofHoldingCashOpportunityCostsTradingcostsTotalcostofholdingcashC*CostsindollarsofholdingcashSizeofcashbalanceTheinvestmenteforegonewhenholdingcash.Tradingcostsincreasewhenthefirmmustsellsecuritiestomeetcashneeds.

TheBATModelF=ThefixedcostofsellingsecuritiestoraisecashT=ThetotalamountofnewcashneededR=Theopportunitycostofholdingcash,i.e.,theinterestrate.TimeC123C2–Ifwestartwith$C,spendataconstantrateeachperiodandreplaceourcashwith$Cwhenwerunoutofcash,ouraveragecashbalancewillbeC2–Theopportunitycostofholding isC2–C2–×R

TheBATModelTimeCAswetransfer$CeachperiodweincuratradingcostofF.123C2–Thetradingcostis ×F–TC–TCIfweneed$Tintotalovertheplanningperiodwewillpay$F times.

TheBATModelC*SizeofcashbalanceOpportunityCostsTradingcosts

TheBATModelOpportunityCosts=TradingCostsTheoptimalcashbalanceisfoundwheretheopportunitycostsequalsthetradingcosts.MultiplybothsidesbyC

TheMiller-OrrModelThefirmallowsitscashbalancetowanderrandomlybetweenupperandlowercontrollimits.$TimeUCLWhenthecashbalancereachestheuppercontrollimitU,cashisinvestedelsewheretogetustothetargetcashbalanceC.Whenthecashbalancereachesthelowercontrollimit,L,investmentsaresoldtoraisecashtogetusuptothetargetcashbalance.

TheMiller-OrrModelMathGivenL,whichissetbythefirm,theMiller-OrrmodelsolvesforC*andUwheres2isthevarianceofnetdailycashflows.TheaveragecashbalanceintheMiller-Orrmodelis:

ImplicationsoftheMiller-OrrModelTousetheMiller-Orrmodel,themanagermustdofourthings:Setthelowercontrollimitforthecashbalance.Estimatethestandarddeviationofdailycashflows.Determ