Optimal cash holding of enterprises with jumps under uncertain distribution

Cash holding management is crucial in enterprise management. Insufficient cash holdings may fail to meet the needs of daily transactions while excessive holdings may result in high opportunity costs. Appropriate decision can help enterprises achieve the goal of maximizing utility. Based on existed research, this paper further considers uncertainty, Merton jump-diffusion model and a distributional uncertainty set is introduced. According to pessimistic criterion, when the jump amplitude is restricted within a certain range, the approximate expression of the optimal cash holding strategy under the power utility function is derived.