- -

A multi-objective approach to the cash management problem

RiuNet: Institutional repository of the Polithecnic University of Valencia

Share/Send to

Cited by

Statistics

A multi-objective approach to the cash management problem

Show simple item record

Files in this item

dc.contributor.author Salas-Molina, Francisco es_ES
dc.contributor.author Pla Santamaría, David es_ES
dc.contributor.author Rodriguez Aguilar, Juan Antonio es_ES
dc.date.accessioned 2017-06-09T10:11:27Z
dc.date.available 2017-06-09T10:11:27Z
dc.date.issued 2016-11
dc.identifier.issn 0254-5330
dc.identifier.uri http://hdl.handle.net/10251/82639
dc.description.abstract [EN] Cash management is concerned with optimizing costs of short-term cash policies of a company. Different optimization models have been proposed in the literature whose focus has been only placed on a single objective, namely, on minimizing costs. However, cash managers may also be interested in risk associated to cash policies. In this paper, we propose a multi-objective cash management model based on compromise programming that allows cash managers to select the best policies, in terms of cost and risk, according to their risk preferences. The model is illustrated through several examples using real data from an industrial company, alternative cost scenarios and two different measures of risk. As a result, we provide cash managers with a new tool to allow them deciding on the level of risk to take in daily decision-making. es_ES
dc.description.sponsorship Work partially funded by projects Collectiveware TIN2015-66863-C2-1-R (MINECO/FEDER) and 2014 SGR 118.
dc.language Inglés es_ES
dc.publisher Springer Verlag (Germany) es_ES
dc.relation MINECO/FEDER/TIN2015-66863-C2-1-R es_ES
dc.relation GC/2014 SGR 118 es_ES
dc.relation.ispartof Annals of Operations Research es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Cash management es_ES
dc.subject Multi-objective decision-making es_ES
dc.subject Risk preferences es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title A multi-objective approach to the cash management problem es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1007/s10479-016-2359-1
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. (2016). A multi-objective approach to the cash management problem. Annals of Operations Research. 1-15. doi:10.1007/s10479-016-2359-1 es_ES
dc.description.accrualMethod Senia es_ES
dc.relation.publisherversion http://dx.doi.org/10.1007/s10479-016-2359-1 es_ES
dc.description.upvformatpinicio 1 es_ES
dc.description.upvformatpfin 15 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.relation.senia 320713 es_ES
dc.identifier.eissn 1572-9338
dc.contributor.funder Ministerio de Economía y Competitividad
dc.contributor.funder Generalitat de Catalunya
dc.relation.references 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. es_ES
dc.relation.references Ballestero, E. (1998). Approximating the optimum portfolio for an investor with particular preferences. Journal of the Operational Research Society, 49(9), 998–1000. es_ES
dc.relation.references Ballestero, E. (2005). Mean-semivariance efficient frontier: A downside risk model for portfolio selection. Applied Mathematical Finance, 12(1), 1–15. es_ES
dc.relation.references Ballestero, E., & Pla-Santamaria, D. (2004). Selecting portfolios for mutual funds. Omega, 32(5), 385–394. es_ES
dc.relation.references Ballestero, E., & Romero, C. (1998). Multiple criteria decision making and its applications to economic problems. Berlin: Springer. es_ES
dc.relation.references Bates, T. W., Kahle, K. M., & Stulz, R. M. (2009). Why do US firms hold so much more cash than they used to? The Journal of Finance, 64(5), 1985–2021. es_ES
dc.relation.references Baumol, W. J. (1952). The transactions demand for cash: An inventory theoretic approach. The Quarterly Journal of Economics, 66(4), 545–556. es_ES
dc.relation.references Chen, X., & Simchi-Levi, D. (2009). A new approach for the stochastic cash balance problem with fixed costs. Probability in the Engineering and Informational Sciences, 23(04), 545–562. es_ES
dc.relation.references 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. es_ES
dc.relation.references da Costa Moraes, M. B., & Nagano, M. S. (2014). Evolutionary models in cash management policies with multiple assets. Economic Modelling, 39, 1–7. es_ES
dc.relation.references da Costa Moraes, M. B., Nagano, M.S., Sobreiro, V. A. (2015). Stochastic cash flow management models: A literature review since the 1980s. In P. Guarnieri (Ed.), Decision models in engineering and management. Decision engineering (pp. 11–28). Switzerland: Springer. es_ES
dc.relation.references Eppen, G. D., & Fama, E. F. (1969). Cash balance and simple dynamic portfolio problems with proportional costs. International Economic Review, 10(2), 119–133. es_ES
dc.relation.references Gao, H., Harford, J., & Li, K. (2013). Determinants of corporate cash policy: Insights from private firms. Journal of Financial Economics, 109(3), 623–639. es_ES
dc.relation.references Girgis, N. M. (1968). Optimal cash balance levels. Management Science, 15(3), 130–140. es_ES
dc.relation.references 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. es_ES
dc.relation.references Gregory, G. (1976). Cash flow models: A review. Omega, 4(6), 643–656. es_ES
dc.relation.references Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77–91. es_ES
dc.relation.references McNeil, A. J., Frey, R., & Embrechts, P. (2005). Quantitative risk management: Concepts, techniques and tools. Princeton: Princeton University Press. es_ES
dc.relation.references Melo, M. A., & Bilich, F. (2013). Expectancy balance model for cash flow. Journal of Economics and Finance, 37(2), 240–252. es_ES
dc.relation.references Miller, M. H., & Orr, D. (1966). A model of the demand for money by firms. The Quarterly Journal of Economics, 80(3), 413–435. es_ES
dc.relation.references Myers, S. C., & Brealey, R. A. (2003). Principles of corporate finance (7th ed.). NewYork: McGraw-Hill. es_ES
dc.relation.references Neave, E. H. (1970). The stochastic cash balance problem with fixed costs for increases and decreases. Management Science, 16(7), 472–490. es_ES
dc.relation.references Penttinen, M. J. (1991). Myopic and stationary solutions for stochastic cash balance problems. European Journal of Operational Research, 52(2), 155–166. es_ES
dc.relation.references Pinkowitz, L., Stulz, R. M., & Williamson, R. (2016). Do US firms hold more cash than foreign firms do? Review of Financial Studies, 29(2), 309–348. es_ES
dc.relation.references Pla-Santamaria, D., & Bravo, M. (2013). Portfolio optimization based on downside risk: A mean-semivariance efficient frontier from dow jones blue chips. Annals of Operations Research, 205(1), 189–201. es_ES
dc.relation.references 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. es_ES
dc.relation.references Roijers, D. M., Vamplew, P., Whiteson, S., & Dazeley, R. (2013). A survey of multi-objective sequential decision-making. Journal of Artificial Intelligence Research, 48(1), 67–113. es_ES
dc.relation.references Ross, S. A., Westerfield, R., & Jordan, B. D. (2002). Fundamentals of corporate finance (6th ed.). NewYork: McGraw-Hill. es_ES
dc.relation.references Sharpe, W. F. (1966). Mutual fund performance. The Journal of Business, 39(1), 119–138. es_ES
dc.relation.references Sharpe, W. F. (1994). The sharpe ratio. The Journal of Portfolio Management, 21(1), 49–58. es_ES
dc.relation.references Srinivasan, V., & Kim, Y. H. (1986). Deterministic cash flow management: State of the art and research directions. Omega, 14(2), 145–166. es_ES
dc.relation.references Steuer, R. E., Qi, Y., & Hirschberger, M. (2007). Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection. Annals of Operations Research, 152(1), 297–317. es_ES
dc.relation.references Stone, B. K. (1972). The use of forecasts and smoothing in control-limit models for cash management. Financial Management, 1(1), 72–84. es_ES
dc.relation.references Whalen, E. L. (1966). A rationalization of the precautionary demand for cash. The Quarterly Journal of Economics, 80(2), 314–324. es_ES
dc.relation.references Yu, P. L. (2013). Multiple-criteria decision making: Concepts, techniques, and extensions. Berlin: Springer. es_ES
dc.relation.references Zeleny, M. (1982). Multiple criteria decision making. NewYork: McGraw-Hill. es_ES
dc.relation.references Zopounidis, C. (1999). Multicriteria decision aid in financial management. European Journal of Operational Research, 119(2), 404–415. es_ES


This item appears in the following Collection(s)

Show simple item record