TitleA stochastic goal programming model to derive stable cash management policies
Publication TypeJournal Article
Year of PublicationIn Press
AuthorsSalas-Molina F, Rodríguez-Aguilar JA, Pla-Santamaria D
JournalJournal of Global Optimization
Keywordsmultiple accounts, Multiple criteria, stochastic goal programming, uncertainty

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 stochas-
tic 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 dif-
ferent 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.