Selecting the best risk measure in multiobjective cash management

[EN] In this paper, we consider cash management from a multidimensional perspective in which cost and risk are desired goals to minimize. Cash managers interested in minimizing risk need to select the most appropriate risk measure according to their particular needs. In order to assess the quality o...

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Autor: Salas-Molina, Francisco|||0000-0002-1168-7931
Tipo de recurso: artículo
Fecha de publicación:2019
País:España
Institución:Universitat Politècnica de València (UPV)
Repositorio:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
Idioma:inglés
OAI Identifier:oai:riunet.upv.es:10251/201127
Acceso en línea:https://riunet.upv.es/handle/10251/201127
Access Level:acceso abierto
Palabra clave:Multidimensional finance
Data-driven models
Risk analysis
Goal programming
ECONOMIA FINANCIERA Y CONTABILIDAD
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spelling Selecting the best risk measure in multiobjective cash managementSalas-Molina, Francisco|||0000-0002-1168-7931Multidimensional financeData-driven modelsRisk analysisGoal programmingECONOMIA FINANCIERA Y CONTABILIDAD[EN] In this paper, we consider cash management from a multidimensional perspective in which cost and risk are desired goals to minimize. Cash managers interested in minimizing risk need to select the most appropriate risk measure according to their particular needs. In order to assess the quality of alternative risk measures, we empirically compare eight different risk measures in terms of the combined cost-risk performance of a cash management model. To this end, we rely on goal programming to derive optimal solutions for cash management models. Our results show that risk measures based on cost deviations better capture risk in comparison to those based on a reference cash balance. The methodology proposed in this paper allows cash managers to propose and evaluate new risk measures.Blackwell PublishingCentro de Investigación en Gestión de Empresas (CEGEA)Departamento de Economía y Ciencias SocialesEscuela Politécnica Superior de AlcoyRepositorio Institucional de la Universitat Politècnica de València Riunet20192019-05-01journal articlehttp://purl.org/coar/resource_type/c_6501VoRhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleapplication/pdfapplication/octet-streamhttps://riunet.upv.es/handle/10251/201127reponame:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valénciainstname:Universitat Politècnica de València (UPV)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Reserva de todos los derechoshttp://rightsstatements.org/vocab/InC/1.0/info:eu-repo/semantics/openAccessoai:riunet.upv.es:10251/2011272026-06-13T07:49:27Z
dc.title.none.fl_str_mv Selecting the best risk measure in multiobjective cash management
title Selecting the best risk measure in multiobjective cash management
spellingShingle Selecting the best risk measure in multiobjective cash management
Salas-Molina, Francisco|||0000-0002-1168-7931
Multidimensional finance
Data-driven models
Risk analysis
Goal programming
ECONOMIA FINANCIERA Y CONTABILIDAD
title_short Selecting the best risk measure in multiobjective cash management
title_full Selecting the best risk measure in multiobjective cash management
title_fullStr Selecting the best risk measure in multiobjective cash management
title_full_unstemmed Selecting the best risk measure in multiobjective cash management
title_sort Selecting the best risk measure in multiobjective cash management
dc.creator.none.fl_str_mv Salas-Molina, Francisco|||0000-0002-1168-7931
author Salas-Molina, Francisco|||0000-0002-1168-7931
author_facet Salas-Molina, Francisco|||0000-0002-1168-7931
author_role author
dc.contributor.none.fl_str_mv Centro de Investigación en Gestión de Empresas (CEGEA)
Departamento de Economía y Ciencias Sociales
Escuela Politécnica Superior de Alcoy
Repositorio Institucional de la Universitat Politècnica de València Riunet
dc.subject.none.fl_str_mv Multidimensional finance
Data-driven models
Risk analysis
Goal programming
ECONOMIA FINANCIERA Y CONTABILIDAD
topic Multidimensional finance
Data-driven models
Risk analysis
Goal programming
ECONOMIA FINANCIERA Y CONTABILIDAD
description [EN] In this paper, we consider cash management from a multidimensional perspective in which cost and risk are desired goals to minimize. Cash managers interested in minimizing risk need to select the most appropriate risk measure according to their particular needs. In order to assess the quality of alternative risk measures, we empirically compare eight different risk measures in terms of the combined cost-risk performance of a cash management model. To this end, we rely on goal programming to derive optimal solutions for cash management models. Our results show that risk measures based on cost deviations better capture risk in comparison to those based on a reference cash balance. The methodology proposed in this paper allows cash managers to propose and evaluate new risk measures.
publishDate 2019
dc.date.none.fl_str_mv 2019
2019-05-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
VoR
http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://riunet.upv.es/handle/10251/201127
url https://riunet.upv.es/handle/10251/201127
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Reserva de todos los derechos
http://rightsstatements.org/vocab/InC/1.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Reserva de todos los derechos
http://rightsstatements.org/vocab/InC/1.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/octet-stream
dc.publisher.none.fl_str_mv Blackwell Publishing
publisher.none.fl_str_mv Blackwell Publishing
dc.source.none.fl_str_mv reponame:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname:Universitat Politècnica de València (UPV)
instname_str Universitat Politècnica de València (UPV)
reponame_str RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
collection RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.300719

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