- -

On the use of multiple criteria distance indexes to find robust cash management policies

RiuNet: Repositorio Institucional de la Universidad Politécnica de Valencia

Compartir/Enviar a

Citas

Estadísticas

  • Estadisticas de Uso

On the use of multiple criteria distance indexes to find robust cash management policies

Mostrar el registro completo del ítem

Salas-Molina, F.; Rodriguez-Aguilar, JA.; Pla Santamaría, D. (2019). On the use of multiple criteria distance indexes to find robust cash management policies. INFOR Information Systems and Operational Research. 57(3):345-360. https://doi.org/10.1080/03155986.2017.1282291

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/140912

Ficheros en el ítem

Thumbnail
Nombre: Salas-Molina;Rodr ...
Tamaño: 412.2Kb
Formato: PDF
Descripción: Versión del Autor.
Abrir/Preview
[Cerrado]
Nombre: On the use of ...
Tamaño: 684.2Kb
Formato: PDF
Descripción: Versión editorial
Solicitar una copia al autor

Metadatos del ítem

Título: On the use of multiple criteria distance indexes to find robust cash management policies
Autor: Salas-Molina, Francisco Rodriguez-Aguilar, Juan A. Pla Santamaría, David
Entidad UPV: Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials
Fecha difusión:
Resumen:
[EN] Cash management decision-making can be handled from a multiobjective perspective by optimizing not only cost but also risk. Nevertheless, choosing the best policies under a changing context is by no means straightforward. ...[+]
Palabras clave: Cash management , Multicriteria decision-making , Robustness , Distance measures
Derechos de uso: Reserva de todos los derechos
Fuente:
INFOR Information Systems and Operational Research. (issn: 0315-5986 )
DOI: 10.1080/03155986.2017.1282291
Editorial:
Taylor & Francis
Versión del editor: https://doi.org/10.1080/03155986.2017.1282291
Título del congreso: International Conference on Multidimensional Finance, Insurance and Investment (ICFMII 2016)
Lugar del congreso: Alcoi, España
Fecha congreso: Junio 26-29,2016
Código del Proyecto:
info:eu-repo/grantAgreement/MINECO//TIN2015-66863-C2-1-R/ES/COLLECTIVEWARE: TECNOLOGIAS PARA POTENCIAR COLECTIVOS HUMANOS EN LA RED ELECTRICA INTELIGENTE/
info:eu-repo/grantAgreement/Generalitat de Catalunya//2014 SGR 118/
Agradecimientos:
Ministerio de Economia y Competitividad [grant number Collectiveware TIN2015-66863-C2-1-R], [grant number 2014 SGR 118]. Work partially funded by projects Collectiveware TIN2015-66863-C2-1-R (MINECO/FEDER) and 2014 SGR 118.[+]
Tipo: Artículo Comunicación en congreso

References

Abdelaziz, F. B., Aouni, B., & Fayedh, R. E. (2007). Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research, 177(3), 1811-1823. doi:10.1016/j.ejor.2005.10.021

Aouni, B., & La Torre, D. (2010). A generalized stochastic goal programming model. Applied Mathematics and Computation, 215(12), 4347-4357. doi:10.1016/j.amc.2009.12.065

Baccarin, S. (2009). Optimal impulse control for a multidimensional cash management system with generalized cost functions. European Journal of Operational Research, 196(1), 198-206. doi:10.1016/j.ejor.2008.02.040 [+]
Abdelaziz, F. B., Aouni, B., & Fayedh, R. E. (2007). Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research, 177(3), 1811-1823. doi:10.1016/j.ejor.2005.10.021

Aouni, B., & La Torre, D. (2010). A generalized stochastic goal programming model. Applied Mathematics and Computation, 215(12), 4347-4357. doi:10.1016/j.amc.2009.12.065

Baccarin, S. (2009). Optimal impulse control for a multidimensional cash management system with generalized cost functions. European Journal of Operational Research, 196(1), 198-206. doi:10.1016/j.ejor.2008.02.040

Baumol, W. J. (1952). The Transactions Demand for Cash: An Inventory Theoretic Approach. The Quarterly Journal of Economics, 66(4), 545. doi:10.2307/1882104

Ben-Tal, A., El Ghaoui, L., & Nemirovski, A. (2009). Robust Optimization. doi:10.1515/9781400831050

Ben-Tal, A., & Nemirovski, A. (1999). Robust solutions of uncertain linear programs. Operations Research Letters, 25(1), 1-13. doi:10.1016/s0167-6377(99)00016-4

Constantinides, G. M., & Richard, S. F. (1978). Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time. Operations Research, 26(4), 620-636. doi:10.1287/opre.26.4.620

Moraes, M. B. da C., & Nagano, M. S. (2014). Evolutionary models in cash management policies with multiple assets. Economic Modelling, 39, 1-7. doi:10.1016/j.econmod.2014.02.010

Da Costa Moraes, M. B., Nagano, M. S., & Sobreiro, V. A. (2015). Stochastic Cash Flow Management Models: A Literature Review Since the 1980s. Decision Engineering, 11-28. doi:10.1007/978-3-319-11949-6_2

Deza, M. M., & Deza, E. (2014). Encyclopedia of Distances. doi:10.1007/978-3-662-44342-2

Emery, G. W. (1981). Some Empirical Evidence on the Properties of Daily Cash Flow. Financial Management, 10(1), 21. doi:10.2307/3665109

Gormley, F. M., & Meade, N. (2007). The utility of cash flow forecasts in the management of corporate cash balances. European Journal of Operational Research, 182(2), 923-935. doi:10.1016/j.ejor.2006.07.041

Gregory, G. (1976). Cash flow models: A review. Omega, 4(6), 643-656. doi:10.1016/0305-0483(76)90092-x

Franklin, J. (2005). The elements of statistical learning: data mining, inference and prediction. The Mathematical Intelligencer, 27(2), 83-85. doi:10.1007/bf02985802

Miller, M. H., & Orr, D. (1966). A Model of the Demand for Money by Firms. The Quarterly Journal of Economics, 80(3), 413. doi:10.2307/1880728

Penttinen, M. J. (1991). Myopic and stationary solutions for stochastic cash balance problems. European Journal of Operational Research, 52(2), 155-166. doi:10.1016/0377-2217(91)90077-9

Premachandra, I. . (2004). A diffusion approximation model for managing cash in firms: An alternative approach to the Miller–Orr model. European Journal of Operational Research, 157(1), 218-226. doi:10.1016/s0377-2217(03)00109-7

Sahinidis, N. V. (2004). Optimization under uncertainty: state-of-the-art and opportunities. Computers & Chemical Engineering, 28(6-7), 971-983. doi:10.1016/j.compchemeng.2003.09.017

Salas-Molina, F., Pla-Santamaria, D., & Rodriguez-Aguilar, J. A. (2016). A multi-objective approach to the cash management problem. Annals of Operations Research, 267(1-2), 515-529. doi:10.1007/s10479-016-2359-1

Soyster, A. L. (1973). Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming. Operations Research, 21(5), 1154-1157. doi:10.1287/opre.21.5.1154

Srinivasan, V., & Kim, Y. H. (1986). Deterministic cash flow management: State of the art and research directions. Omega, 14(2), 145-166. doi:10.1016/0305-0483(86)90017-4

[-]

recommendations

 

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro completo del ítem