Boundless multiobjective models for cash management

Francisco Salas-Molina, Juan A. Rodríguez-Aguilar and David Pla-Santamaria

The Engineering Economist, 2018, vol. 63, issue 4, 363-381

Abstract: 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 linear-quadratic multiobjective compromise programming models. We illustrate our approach through a reformulation of the suboptimal state-of-the-art Gormley-Meade’s model to achieve optimality. Furthermore, we introduce a much simpler formulation that we call the boundless model that also provides optimal solutions without using bounds. Results from a sensitivity analysis using real data sets from 54 different companies show that our boundless model is highly robust to cash flow prediction errors.

Date: 2018
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DOI: 10.1080/0013791X.2018.1456596

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