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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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dc.contributor.author Salas-Molina, Francisco es_ES
dc.contributor.author Pla Santamaría, David es_ES
dc.contributor.author Rodriguez-Aguilar, Juan A. es_ES
dc.date.accessioned 2023-12-26T19:03:20Z
dc.date.available 2023-12-26T19:03:20Z
dc.date.issued 2023-09 es_ES
dc.identifier.uri http://hdl.handle.net/10251/201134
dc.description.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 Anal 7(4):1851¿1872, 1972) provided the first analytical derivation of the efficient frontier with all non-dominated return and risk combinations. This first proposal was later extended to account for three or more criteria by other authors. However, the cash management literature needs an analytical derivation of the efficient frontier to help cash managers evaluate the implications of selecting policies and risk measures. In this paper, we provide three analytic derivations of the efficient frontier determining a closed-form solution for the expected returns and risk relationship using three different risk measures. We study its main properties and its theoretical implications for policies. Using the variance of returns as a risk measure imposes limitations due to invertibility reasons. es_ES
dc.description.sponsorship Open Access funding provided thanks to the CRUE-CSIC agreement with Springer Nature. es_ES
dc.language Inglés es_ES
dc.publisher Springer New York LLC es_ES
dc.relation.ispartof Annals of Operations Research (Online) es_ES
dc.rights Reconocimiento (by) es_ES
dc.subject Efficient frontier es_ES
dc.subject Cash management es_ES
dc.subject Biojective es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title An analytic derivation of the efficient frontier in biobjective cash management and its implications for policies es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1007/s10479-023-05433-z 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.; 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 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.1007/s10479-023-05433-z es_ES
dc.description.upvformatpinicio 1523 es_ES
dc.description.upvformatpfin 1536 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 328 es_ES
dc.description.issue 2 es_ES
dc.identifier.eissn 1572-9338 es_ES
dc.relation.pasarela S\495148 es_ES
dc.contributor.funder Universitat Politècnica de València es_ES
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dc.subject.ods 08.- Fomentar el crecimiento económico sostenido, inclusivo y sostenible, el empleo pleno y productivo, y el trabajo decente para todos es_ES
dc.subject.ods 09.- Desarrollar infraestructuras resilientes, promover la industrialización inclusiva y sostenible, y fomentar la innovación es_ES


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