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A stochastic goal programming model to derive stable cash management policies

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Abstract

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.

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Acknowledgements

This work has been partially funded by Generalitat de Catalunya (2017 SGR 172), AI4EU (H2020-825619), LOGISTAR (H2020-769142).

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Authors and Affiliations

  1. Universitat de València, Av. Tarongers s/n, 46022, Valencia, Spain

    Francisco Salas-Molina

  2. IIIA-CSIC, Campus UAB, 08913, Cerdanyola, Spain

    Juan A. Rodriguez-Aguilar

  3. Universitat Politècnica de València, Ferrándiz y Carbonell, s/n, 03801, Alcoy, Spain

    David Pla-Santamaria

Authors
  1. Francisco Salas-Molina
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  2. Juan A. Rodriguez-Aguilar
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  3. David Pla-Santamaria
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Correspondence to Francisco Salas-Molina.

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Salas-Molina, F., Rodriguez-Aguilar, J.A. & Pla-Santamaria, D. A stochastic goal programming model to derive stable cash management policies. J Glob Optim 76, 333–346 (2020). https://doi.org/10.1007/s10898-019-00770-5

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