Selecting cash management models from a multiobjective perspective

[EN] 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: (1) showing model performance; (2) choosingmodels; and (3) assessing the impact of operating conditions on model performance. We illustrate the selection of cash management models by means of a numerical example.Work partially funded by projects Collectiveware TIN2015-66863-C2-1-R (MINECO/FEDER) and 2014 SGR 118.Salas-Molina, F.; Rodríguez-Aguilar, JA.; Díaz-García, P. (2018). Selecting cash management models from a multiobjective perspective. Annals of Operations Research. 261(1-2):275-288. https://doi.org/10.1007/s10479-017-2634-9S2752882611-2Ballestero, E. (2007). Compromise programming: A utility-based linear-quadratic composite metric from the trade-off between achievement and balanced (non-corner) solutions. European Journal of Operational Research, 182(3), 1369–1382.Ballestero, E., & Romero, C. (1998). Multiple criteria decision making and its applications to economic problems. Berlin: Springer.Bi, J., & Bennett, K. P. (2003). Regression error characteristic curves. In Proceedings of the 20th international conference on machine learning (ICML-03), pp. 43–50.Bradley, A. P. (1997). The use of the area under the roc curve in the evaluation of machine learning algorithms. Pattern Recognition, 30(7), 1145–1159.da Costa Moraes, M. B., Nagano, M. S., & Sobreiro, V. A. (2015). Stochastic cash flow management models: A literature review since the 1980s. In Decision models in engineering and management (pp. 11–28). New York: Springer.Doumpos, M., & Zopounidis, C. (2007). Model combination for credit risk assessment: A stacked generalization approach. Annals of Operations Research, 151(1), 289–306.Drummond, C., & Holte, R. C. (2000). Explicitly representing expected cost: An alternative to roc representation. In Proceedings of the sixth ACM SIGKDD international conference on Knowledge discovery and data mining (pp. 98–207). New York: ACM.Drummond, C., & Holte, R. C. (2006). Cost curves: An improved method for visualizing classifier performance. Machine Learning, 65(1), 95–130.Elkan, C. (2001). The foundations of cost-sensitive learning. In International joint conference on artificial intelligence (Vol. 17, pp. 973–978). Lawrence Erlbaum associates Ltd.Fawcett, T. (2006). An introduction to roc analysis. Pattern Recognition Letters, 27(8), 861–874.Flach, P. A. (2003). The geometry of roc space: understanding machine learning metrics through roc isometrics. In Proceedings of the 20th international conference on machine learning (ICML-03), pp. 194–201.Garcia-Bernabeu, A., Benito, A., Bravo, M., & Pla-Santamaria, D. (2016). Photovoltaic power plants: a multicriteria approach to investment decisions and a case study in western spain. Annals of Operations Research, 245(1–2), 163–175.Glasserman, P. (2003). Monte Carlo methods in financial engineering (Vol. 53). New York: Springer.Gregory, G. (1976). Cash flow models: a review. Omega, 4(6), 643–656.Hernández-Orallo, J. (2013). Roc curves for regression. Pattern Recognition, 46(12), 3395–3411.Hernández-Orallo, J., Flach, P., & Ferri, C. (2013). Roc curves in cost space. Machine Learning, 93(1), 71–91.Hernández-Orallo, J., Lachiche, N., & Martınez-Usó, A. (2014). Predictive models for multidimensional data when the resolution context changes. In Workshop on learning over multiple contexts at ECML, volume 2014.Metz, C. E. (1978). Basic principles of roc analysis. In Seminars in nuclear medicine (Vol. 8, pp. 283–298). Amsterdam: Elsevier.Miettinen, K. (2012). Nonlinear multiobjective optimization (Vol. 12). Berlin: Springer.Ringuest, J. L. (2012). Multiobjective optimization: Behavioral and computational considerations. Berlin: Springer.Ross, S. A., Westerfield, R., & Jordan, B. D. (2002). Fundamentals of corporate finance (sixth ed.). New York: McGraw-Hill.Salas-Molina, F., Pla-Santamaria, D., & Rodriguez-Aguilar, J. A. (2016). A multi-objective approach to the cash management problem. Annals of Operations Research, pp. 1–15.Srinivasan, V., & Kim, Y. H. (1986). Deterministic cash flow management: State of the art and research directions. Omega, 14(2), 145–166.Steuer, R. E., Qi, Y., & Hirschberger, M. (2007). Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection. Annals of Operations Research, 152(1), 297–317.Stone, B. K. (1972). The use of forecasts and smoothing in control limit models for cash management. Financial Management, 1(1), 72.Torgo, L. (2005). Regression error characteristic surfaces. In Proceedings of the eleventh ACM SIGKDD international conference on Knowledge discovery in data mining (pp. 697–702). ACM.Yu, P.-L. (1985). Multiple criteria decision making: concepts, techniques and extensions. New York: Plenum Press.Zeleny, M. (1982). Multiple criteria decision making. New York: McGraw-Hill