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Selecting cash management models from a multiobjective perspective

Author

Listed:
  • Francisco Salas-Molina

    (Hilaturas Ferre S.A.)

  • Juan A. Rodriguez-Aguilar

    (IIIA-CSIC)

  • Pablo Díaz-García

    (Universidad Politécnica Valencia)

Abstract

This paper addresses the problem of selecting cash management models under different operating conditions from a multiobjective perspective considering not only cost but also risk. A number of models have been proposed to optimize corporate cash management policies. The impact on model performance of different operating conditions becomes an important issue. Here, we provide a range of visual and quantitative tools imported from Receiver Operating Characteristic (ROC) analysis. More precisely, we show the utility of ROC analysis from a triple perspective as a tool for: (1) showing model performance; (2) choosing models; and (3) assessing the impact of operating conditions on model performance. We illustrate the selection of cash management models by means of a numerical example.

Suggested Citation

  • Francisco Salas-Molina & Juan A. Rodriguez-Aguilar & Pablo Díaz-García, 2018. "Selecting cash management models from a multiobjective perspective," Annals of Operations Research, Springer, vol. 261(1), pages 275-288, February.
    • Handle: RePEc:spr:annopr:v:261:y:2018:i:1:d:10.1007_s10479-017-2634-9
    DOI: 10.1007/s10479-017-2634-9
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    References listed on IDEAS

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    7. Francisco Salas-Molina & David Pla-Santamaria & Juan A. Rodriguez-Aguilar, 2018. "A multi-objective approach to the cash management problem," Annals of Operations Research, Springer, vol. 267(1), pages 515-529, August.
    8. Gregory, Geoffrey, 1976. "Cash flow models: A review," Omega, Elsevier, vol. 4(6), pages 643-656.
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    Cited by:

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