Selecting cash management models from a multiobjective perspective
Annals OR(2017)
摘要
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) choosing models; 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.
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关键词
Cash management models,ROC analysis,Multiobjective,Operating condition
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