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An analytic derivation of the efficient frontier in biobjective cash management and its implications for policies

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An analytic derivation of the efficient frontier in biobjective cash management and its implications for policies

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Salas-Molina, F.; Pla Santamaría, D.; Rodriguez-Aguilar, JA. (2023). An analytic derivation of the efficient frontier in biobjective cash management and its implications for policies. Annals of Operations Research (Online). 328(2):1523-1536. https://doi.org/10.1007/s10479-023-05433-z

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/201134

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Title: An analytic derivation of the efficient frontier in biobjective cash management and its implications for policies
Author: Salas-Molina, Francisco Pla Santamaría, David Rodriguez-Aguilar, Juan A.
UPV Unit: Universitat Politècnica de València. Escuela Politécnica Superior de Alcoy - Escola Politècnica Superior d'Alcoi
Issued date:
Abstract:
[EN] Cash managers who optimize returns and risk rely on biobjective optimization models to select the best policies according to their risk preferences. In the related portfolio selection problem, Merton (J Financ Quant ...[+]
Subjects: Efficient frontier , Cash management , Biojective
Copyrigths: Reconocimiento (by)
Source:
Annals of Operations Research (Online). (eissn: 1572-9338 )
DOI: 10.1007/s10479-023-05433-z
Publisher:
Springer New York LLC
Publisher version: https://doi.org/10.1007/s10479-023-05433-z
Thanks:
Open Access funding provided thanks to the CRUE-CSIC agreement with Springer Nature.
Type: Artículo

References

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