Salas-Molina, Francisco; Rodriguez-Aguilar, Juan A.; Pla Santamaría, David(Springer-Verlag, 2020-02)
[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 ...
Salas-Molina, Francisco; Pla Santamaría, David; Rodriguez-Aguilar, Juan A.(Springer New York LLC, 2023-09)
[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 ...
[EN] Cash management models are usually based on a set of bounds that
complicate the selection of the optimal policies due to nonlinearity.
We here propose to linearize cash management models to guarantee
optimality through ...
Salas-Molina, Francisco; Rodriguez-Aguilar, Juan A.; Pla Santamaría, David(Springer-Verlag, 2019-09)
[EN] The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper ...
Salas-Molina, Francisco; Rodriguez-Aguilar, Juan A.; Serrà,Joan; Guillen, Montserrat; Martin, Francisco J.(Institut d'Estadística de Catalunya (Idescat), 2018-01)
[EN]
Usual assumptions on the statistical properties of daily net cash flows include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set showing ...
[EN] Cash management aims to find a balance between what is held in cash and what is allocated in other investments in exchange for a given return. Dealing with cash management systems with multiple accounts and different ...
[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. ...