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
Title:
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On the use of multiple criteria distance indexes to find robust cash management policies
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Author:
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Salas-Molina, Francisco
Rodriguez-Aguilar, Juan A.
Pla Santamaría, David
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UPV Unit:
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Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials
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Issued date:
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Abstract:
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[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. ...[+]
[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. To this end, we rely on compromise
programming to incorporate robustness as an additional goal to cost
and risk within a multiobjective framework. As a result, we propose to
calculate robustness as a multiple criteria distance index that is able to
identify the best compromise policies in terms of cost and risk. Such
policies are also robust to cash flow regime changes. We show its
utility by transforming the Miller and Orr s cash management model
into its robust counterpart using real data from an industrial company.
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Subjects:
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Cash management
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Multicriteria decision-making
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Robustness
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Distance measures
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Copyrigths:
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Reserva de todos los derechos
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Source:
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INFOR Information Systems and Operational Research. (issn:
0315-5986
)
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DOI:
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10.1080/03155986.2017.1282291
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Publisher:
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Taylor & Francis
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Publisher version:
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https://doi.org/10.1080/03155986.2017.1282291
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Conference name:
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International Conference on Multidimensional Finance, Insurance and Investment (ICFMII 2016)
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Conference place:
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Alcoi, España
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Conference date:
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Junio 26-29,2016
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Project ID:
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MINECO/TIN2015-66863-C2-1-R
MINECO/2014 SGR 118
FEDER/2014 SGR 118
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Thanks:
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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.[+]
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.
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Type:
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Artículo
Comunicación en congreso
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