Boundless multiobjective models for cash management

Francisco Salas-Molina, Juan A. Rodríguez-Aguilar, David Pla-Santamaria
2018 The Engineering Economist  
Cash management models are usually based on a set of bounds that complicates the selection of the optimal policies due to non-linearity. 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
more » ... 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.
doi:10.1080/0013791x.2018.1456596 fatcat:b73km3begzeyrc76y7qsqebb7y