TitleSelecting cash management models from a multiobjective perspective
Publication TypeJournal Article
Year of Publication2018
AuthorsSalas-Molina F, Rodríguez-Aguilar JA, Díaz-García P
JournalAnnals of Operations Research
Date Published02/2018

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: (i) showing model performance; (ii) choosing models; and (iii) assessing the impact of operating conditions on model performance. We illustrate the selection of cash management models by means of a numerical example.