Selecting cash management models from a multiobjective perspective

Francisco Salas-Molina, Juan A. Rodriguez-Aguilar () and Pablo Díaz-García ()
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Juan A. Rodriguez-Aguilar: IIIA-CSIC
Pablo Díaz-García: Universidad Politécnica Valencia

Annals of Operations Research, 2018, vol. 261, issue 1, No 12, 275-288

Abstract: 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.

Keywords: Cash management models; ROC analysis; Multiobjective; Operating condition (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10479-017-2634-9

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