"This is an Accepted Manuscript of an article published by Taylor & Francis in Engineering Economist on 31-05-2018, available online: https://doi.org/10.1080/0013791X.2018.1456596"[EN] Cash management models are usually based on a set of bounds that
complicate the selection of the optimal policies due to nonlinearity.
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 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.Generalitat de Catalunya [2014 SGR 118]; Ministerio de Economia y Competitividad [Collectiveware TIN2015-66863-C2-1-R].Salas-Molina, F.; Rodriguez-Aguilar, JA.; Pla Santamaría, D. (2018). Boundless multiobjective models for cash management. Engineering Economist (Online). 63(4):363-381. https://doi.org/10.1080/0013791X.2018.1456596S363381634Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9(3), 203-228. doi:10.1111/1467-9965.00068Baccarin, S. (2009). Optimal impulse control for a multidimensional cash management system with generalized cost functions. European Journal of Operational Research, 196(1), 198-206. doi:10.1016/j.ejor.2008.02.040Ballestero, E., & Romero, C. (1998). Multiple Criteria Decision Making and its Applications to Economic Problems. doi:10.1007/978-1-4757-2827-9Bar-Ilan, A., Perry, D., & Stadje, W. (2004). A generalized impulse control model of cash management. 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