- -

A stochastic goal programming model to derive stable cash management policies

RiuNet: Repositorio Institucional de la Universidad Politécnica de Valencia

Compartir/Enviar a

Citas

Estadísticas

  • Estadisticas de Uso

A stochastic goal programming model to derive stable cash management policies

Mostrar el registro sencillo del ítem

Ficheros en el ítem

Thumbnail
Nombre: Salas-MolinaRodri ...
Tamaño: 329.8Kb
Formato: PDF
Descripción: Versión del Autor.
Abrir
[Cerrado]
Nombre: Salas2020Stochast ...
Tamaño: 374.2Kb
Formato: PDF
Descripción: Versión editorial
Solicitar una copia al autor
dc.contributor.author Salas-Molina, Francisco es_ES
dc.contributor.author Rodriguez-Aguilar, Juan A. es_ES
dc.contributor.author Pla Santamaría, David es_ES
dc.date.accessioned 2023-12-26T19:03:09Z
dc.date.available 2023-12-26T19:03:09Z
dc.date.issued 2020-02 es_ES
dc.identifier.issn 0925-5001 es_ES
dc.identifier.uri http://hdl.handle.net/10251/201131
dc.description.abstract [EN] In this paper, we consider cash management systems with multiple bank accounts described by a given particular relationship between accounts and by a linear state transition law. Since cash managers may simultaneously consider a number of possibly conflicting goals, we provide a general stochastic goal programming model that is able to handle multiple goals and also the inherent uncertainty introduced by expected cash flows. We describe in detail an instance of our general model that considers the optimization of three different criteria such as cost, risk and cash balance stability. We claim that cash balance stability is an interesting goal to deal with the inherent uncertainty of expected cash flows. We also provide useful instructions for cash managers to set the main parameters of our model in practice. Our model provides a systematic approach to multiobjective cash management that is ready to be implemented in decision support systems for cash management. es_ES
dc.description.sponsorship This work has been partially funded by Generalitat de Catalunya (2017 SGR 172), AI4EU(H2020-825619), LOGISTAR (H2020-769142). es_ES
dc.language Inglés es_ES
dc.publisher Springer-Verlag es_ES
dc.relation.ispartof Journal of Global Optimization es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Multiple criteria es_ES
dc.subject Multiple accounts es_ES
dc.subject Stochastic goal programming es_ES
dc.subject Uncertainty es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title A stochastic goal programming model to derive stable cash management policies es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1007/s10898-019-00770-5 es_ES
dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/769142/EU es_ES
dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/825619/EU es_ES
dc.relation.projectID info:eu-repo/grantAgreement/GC//2017 SGR 172/ es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Escuela Politécnica Superior de Alcoy - Escola Politècnica Superior d'Alcoi es_ES
dc.description.bibliographicCitation Salas-Molina, F.; Rodriguez-Aguilar, JA.; Pla Santamaría, D. (2020). A stochastic goal programming model to derive stable cash management policies. Journal of Global Optimization. 76(2):333-346. https://doi.org/10.1007/s10898-019-00770-5 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.1007/s10898-019-00770-5 es_ES
dc.description.upvformatpinicio 333 es_ES
dc.description.upvformatpfin 346 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 76 es_ES
dc.description.issue 2 es_ES
dc.relation.pasarela S\460686 es_ES
dc.contributor.funder European Commission es_ES
dc.contributor.funder Generalitat de Catalunya es_ES
dc.description.references Srinivasan, V., Kim, Y.H.: Deterministic cash flow management: state of the art and research directions. Omega 14(2), 145–166 (1986) es_ES
dc.description.references da Costa M., Marcelo, B., Nagano, M.S., Sobreiro, V.A.: Stochastic cash flow management models: a literature review since the 1980s. In Decision Models in Engineering and Management, pp. 11–28. Springer International Publishing, (2015) es_ES
dc.description.references Bellman, R.: Dynamic Programming. Dover Publications, New York (1957) es_ES
dc.description.references Bertsekas, D.P.: Dynamic Programming and Optimal Control. Athena scientific, Belmont (2005) es_ES
dc.description.references Murray, D.M., Yakowitz, S.J.: Constrained differential dynamic programming and its application to multireservoir control. Water Resour. Res. 15(5), 1017–1027 (1979) es_ES
dc.description.references Yeh, W.W.-G.: Reservoir management and operations models: a state-of-the-art review. Water Resour. Res. 21(12), 1797–1818 (1985) es_ES
dc.description.references Labadie, J.W.: Optimal operation of multireservoir systems: state-of-the-art review. J. Water Resour. Plan. Manag. 130(2), 93–111 (2004) es_ES
dc.description.references Cembrano, G., Wells, G., Quevedo, J., Pérez, R., Argelaguet, R.: Optimal control of a water distribution network in a supervisory control system. Control Eng. Pract. 8(10), 1177–1188 (2000) es_ES
dc.description.references Jalali, M.R., Afshar, A., Marino, M.A.: Multi-colony ant algorithm for continuous multi-reservoir operation optimization problem. Water Resour. Manag. 21(9), 1429–1447 (2007) es_ES
dc.description.references Baccarin, S.: Optimal impulse control for a multidimensional cash management system with generalized cost functions. Eur. J. Oper. Res. 196(1), 198–206 (2009) es_ES
dc.description.references Salas-Molina, F.: Risk-sensitive control of cash management systems. Oper. Res. (2017). https://doi.org/10.1007/s12351-017-0371-0 es_ES
dc.description.references Daellenbach, H.G.: A stochastic cash balance model with two sources of short-term funds. Int. Econ. Rev. 12(2), 250–256 (1971) es_ES
dc.description.references Stone, B.K.: The use of forecasts and smoothing in control limit models for cash management. Fin. Manag. 1(1), 72 (1972) es_ES
dc.description.references Salas-Molina, F., Martin, F.J., Rodriguez-Aguilar, J.A., Serrá, J., Arcos, J.L.: Empowering cash managers to achieve cost savings by improving predictive accuracy. Int. J. Forecast. 33(2), 403–415 (2017). https://doi.org/10.1016/j.ijforecast.2016.11.002 es_ES
dc.description.references Penttinen, M.J.: Myopic and stationary solutions for stochastic cash balance problems. Eur. J. Oper. Res. 52(2), 155–166 (1991) es_ES
dc.description.references Salas-Molina, F., Pla-Santamaria, D., Rodriguez-Aguilar, J.A.: A multi-objective approach to the cash management problem. Ann. Oper. Res. 267(1–2), 515–529 (2018a) es_ES
dc.description.references Ballestero, E., Romero, C.: Multiple Criteria Decision Making and Its Applications to Economic Problems. Springer Science & Business Media, Berlin (1998) es_ES
dc.description.references Charnes, A., Cooper, W.W.: Chance-constrained programming. Manag. Sci. 6(1), 73–79 (1959) es_ES
dc.description.references Charnes, A., Cooper, W.W.: Goal programming and multiple objective optimizations. Eur. J. Oper. Res. 1(1), 39–54 (1977) es_ES
dc.description.references Ballestero, E.: Stochastic goal programming: a mean-variance approach. Eur. J. Oper. Res. 131(3), 476–481 (2001) es_ES
dc.description.references Abdelaziz, F.B., Aouni, B., Fayedh, R.E.: Multi-objective stochastic programming for portfolio selection. Eur. J. Oper. Res. 177(3), 1811–1823 (2007) es_ES
dc.description.references Aouni, B., Colapinto, C., La Torre, D.: Financial portfolio management through the goal programming model: current state-of-the-art. Eur. J. Oper. Res. 234(2), 536–545 (2014) es_ES
dc.description.references Salas-Molina, F., Pla-Santamaria, D., Rodríguez-Aguilar, J.A.: Empowering cash managers through compromise programming. In Financial Decision Aid Using Multiple Criteria, pp. 149–173. Springer (2018b) es_ES
dc.description.references Herrera-Cáceres, C.A., Ibeas, A.: Model predictive control of cash balance in a cash concentration and disbursements system. J. Frankl. Inst. 353(18), 4885–4923 (2016) es_ES
dc.description.references Prékopa, A.: Stochastic Programming. Kluwer Academic Publishers, Dordretch (1995) es_ES
dc.description.references Sahinidis, N.V.: Optimization under uncertainty: state-of-the-art and opportunities. Comput. Chem. Eng. 28(6–7), 971–983 (2004) es_ES
dc.description.references Birge, J.R., Louveaux, F.: Introduction to Stochastic Programming. Springer, Berlin (1997) es_ES
dc.description.references Bellman, R.E., Zadeh, L.A.: Decision-making in a fuzzy environment. Manag. Sci. 17(4), B-141 (1970) es_ES
dc.description.references Simon, H.A.: A behavioral model of rational choice. Q. J. Econ. 69(1), 99–118 (1955) es_ES
dc.description.references Gormley, F.M., Meade, N.: The utility of cash flow forecasts in the management of corporate cash balances. Eur. J. Oper. Res. 182(2), 923–935 (2007) es_ES
dc.description.references Romero, C.: Handbook of Critical Issues in Goal Programming. Pergamon Press, Oxford (1991) es_ES
dc.description.references Jones, D., Tamiz, M., et al.: Practical Goal Programming, vol. 141. Springer, Berlin (2010) es_ES
dc.description.references Ballestero, E., Garcia-Bernabeu, A.: Portfolio selection with multiple time horizons: a mean variance-stochastic goal programming approach. INFOR Inf. Syst. Oper. Res. 50(3), 106–116 (2012) es_ES
dc.description.references Soyster, A.L.: Technical note—convex programming with set-inclusive constraints and applications to inexact linear programming. Oper. Res. 21(5), 1154–1157 (1973) es_ES
dc.description.references Ben-Tal, A., Nemirovski, A.: Robust solutions of uncertain linear programs. Oper. Res. Lett. 25(1), 1–13 (1999) es_ES
dc.description.references Ben-Tal, A., El Ghaoui, L., Nemirovski, A.: Robust Optimization. Princeton University Press, Princeton (2009) es_ES
dc.description.references Tyrrell Rockafellar, R., Uryasev, S.: Conditional value-at-risk for general loss distributions. J. Bank. Fin. 26(7), 1443–1471 (2002) es_ES
dc.description.references Saaty, T.L.: How to make a decision: the analytic hierarchy process. Interfaces 24(6), 19–43 (1994) es_ES
dc.description.references Saaty, T.L.: Decision making with the analytic hierarchy process. Int. J. Serv. Sci. 1(1), 83–98 (2008) es_ES


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

Mostrar el registro sencillo del ítem