[EN] Cash management is concerned with optimizing costs of short-term cash policies
of a company. Different optimization models have been proposed in the literature whose
focus has been only placed on a single objective, namely, on minimizing costs. However,
cash managers may also be interested in risk associated to cash policies. In this paper, we
propose a multi-objective cash management model based on compromise programming that
allows cash managers to select the best policies, in terms of cost and risk, according to their
risk preferences. The model is illustrated through several examples using real data from an
industrial company, alternative cost scenarios and two different measures of risk. As a result,
we provide cash managers with a new tool to allow them deciding on the level of risk to take
in daily decision-making.Work partially funded by projects Collectiveware TIN2015-66863-C2-1-R (MINECO/FEDER) and 2014 SGR 118.Salas-Molina, F.; Pla Santamaría, D.; Rodriguez Aguilar, JA. (2016). A multi-objective approach to the cash management problem. Annals of Operations Research. 1-15. https://doi.org/10.1007/s10479-016-2359-1S115Baccarin, S. (2009). Optimal impulse control for a multidimensional cash management system with generalized cost functions. European Journal of Operational Research, 196(1), 198–206.Ballestero, E. (1998). Approximating the optimum portfolio for an investor with particular preferences. Journal of the Operational Research Society, 49(9), 998–1000.Ballestero, E. (2005). Mean-semivariance efficient frontier: A downside risk model for portfolio selection. Applied Mathematical Finance, 12(1), 1–15.Ballestero, E., & Pla-Santamaria, D. (2004). Selecting portfolios for mutual funds. Omega, 32(5), 385–394.Ballestero, E., & Romero, C. (1998). 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