A stochastic goal programming model to derive stable cash management policies

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 consider a number of possibly conflicting goals, we provide a general stochastic g...

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Detalhes bibliográficos
Autores: Salas-Molina, Francisco, Rodríguez-Aguilar, Juan Antonio, Pla-Santamaría, David
Formato: artículo
Fecha de publicación:2019
País:España
Recursos:Consejo Superior de Investigaciones Científicas (CSIC)
Repositorio:DIGITAL.CSIC. Repositorio Institucional del CSIC
OAI Identifier:oai:digital.csic.es:10261/197429
Acesso em linha:http://hdl.handle.net/10261/197429
Access Level:acceso abierto
Palavra-chave:Multiple criteria
Multiple accounts
Stochastic goal programming
Uncertainty
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spelling A stochastic goal programming model to derive stable cash management policiesSalas-Molina, FranciscoRodríguez-Aguilar, Juan AntonioPla-Santamaría, DavidMultiple criteriaMultiple accountsStochastic goal programmingUncertaintyIn 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 consider a number of possibly conflicting goals, we provide a general stochastic goal programming model that is able to handle multiple goals and also the inherent uncertainty introduced by expected cash flows. We describe in detail an instance of our general model that considers the optimization of three different criteria such as cost, risk and cash balance stability. We claim that cash balance stability is an interesting goal to deal with the inherent uncertainty of expected cash flows. We also provide useful instructions for cash managers to set the main parameters of our model in practice. Our model provides a systematic approach to multiobjective cash management that is ready to be implemented in decision support systems for cash management.This work has been partially funded by Generalitat de Catalunya (2017 SGR 172), AI4EU (H2020-825619), LOGISTAR (H2020-769142).Peer reviewedSpringer NatureGeneralitat de CatalunyaEuropean CommissionConsejo Superior de Investigaciones Científicas [https://ror.org/02gfc7t72]202020202019info:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_6501http://hdl.handle.net/10261/197429reponame:DIGITAL.CSIC. Repositorio Institucional del CSICinstname:Consejo Superior de Investigaciones Científicas (CSIC)Inglés#PLACEHOLDER_PARENT_METADATA_VALUE##PLACEHOLDER_PARENT_METADATA_VALUE#info:eu-repo/grantAgreement/EC/H2020/825619info:eu-repo/grantAgreement/EC/H2020/769142http://dx.doi.org/10.1007/s10898-019-00770-5Síinfo:eu-repo/semantics/openAccessoai:digital.csic.es:10261/1974292026-05-22T06:33:51Z
dc.title.none.fl_str_mv A stochastic goal programming model to derive stable cash management policies
title A stochastic goal programming model to derive stable cash management policies
spellingShingle A stochastic goal programming model to derive stable cash management policies
Salas-Molina, Francisco
Multiple criteria
Multiple accounts
Stochastic goal programming
Uncertainty
title_short A stochastic goal programming model to derive stable cash management policies
title_full A stochastic goal programming model to derive stable cash management policies
title_fullStr A stochastic goal programming model to derive stable cash management policies
title_full_unstemmed A stochastic goal programming model to derive stable cash management policies
title_sort A stochastic goal programming model to derive stable cash management policies
dc.creator.none.fl_str_mv Salas-Molina, Francisco
Rodríguez-Aguilar, Juan Antonio
Pla-Santamaría, David
author Salas-Molina, Francisco
author_facet Salas-Molina, Francisco
Rodríguez-Aguilar, Juan Antonio
Pla-Santamaría, David
author_role author
author2 Rodríguez-Aguilar, Juan Antonio
Pla-Santamaría, David
author2_role author
author
dc.contributor.none.fl_str_mv Generalitat de Catalunya
European Commission
Consejo Superior de Investigaciones Científicas [https://ror.org/02gfc7t72]
dc.subject.none.fl_str_mv Multiple criteria
Multiple accounts
Stochastic goal programming
Uncertainty
topic Multiple criteria
Multiple accounts
Stochastic goal programming
Uncertainty
description 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 consider a number of possibly conflicting goals, we provide a general stochastic goal programming model that is able to handle multiple goals and also the inherent uncertainty introduced by expected cash flows. We describe in detail an instance of our general model that considers the optimization of three different criteria such as cost, risk and cash balance stability. We claim that cash balance stability is an interesting goal to deal with the inherent uncertainty of expected cash flows. We also provide useful instructions for cash managers to set the main parameters of our model in practice. Our model provides a systematic approach to multiobjective cash management that is ready to be implemented in decision support systems for cash management.
publishDate 2019
dc.date.none.fl_str_mv 2019
2020
2020
dc.type.none.fl_str_mv info:eu-repo/semantics/article
http://purl.org/coar/resource_type/c_6501
format article
dc.identifier.none.fl_str_mv http://hdl.handle.net/10261/197429
url http://hdl.handle.net/10261/197429
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv #PLACEHOLDER_PARENT_METADATA_VALUE#
#PLACEHOLDER_PARENT_METADATA_VALUE#
info:eu-repo/grantAgreement/EC/H2020/825619
info:eu-repo/grantAgreement/EC/H2020/769142
http://dx.doi.org/10.1007/s10898-019-00770-5
Sí
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Springer Nature
publisher.none.fl_str_mv Springer Nature
dc.source.none.fl_str_mv reponame:DIGITAL.CSIC. Repositorio Institucional del CSIC
instname:Consejo Superior de Investigaciones Científicas (CSIC)
instname_str Consejo Superior de Investigaciones Científicas (CSIC)
reponame_str DIGITAL.CSIC. Repositorio Institucional del CSIC
collection DIGITAL.CSIC. Repositorio Institucional del CSIC
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,811543

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