Fitting random cash management models to data

DOI10.1016/J.COR.2018.04.007MaRDI QIDQ1734858zbMATH OpenOpenAlexWikidataFDO

Authors Francisco Salas-Molina

Publication date 27 March 2019

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2018.04.007

zbMATH Keywords

control boundsdata-driven modelsensemblesmachine learningstochastic programming

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Stochastic programming (90C15) Financial applications of other theories (91G80)

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Cites work

• A diffusion approximation model for managing cash in firms: an alternative approach to the Miller-Orr model
• A stochastic programming approach to cash management in banking
• A stochastic programming model for money management
• Bagging predictors
• Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs
• Control of systems integrating logic, dynamics, and constraints
• High-Performance Computing for Asset-Liability Management
• Introduction to stochastic programming.
• Nonlinear model predictive control: an introductory review
• Optimal impulse control for a multidimensional cash management system with generalized cost functions
• Random forests
• Robust optimization
• Robust solutions of uncertain linear programs
• The utility of cash flow forecasts in the management of corporate cash balances

Cited in

(3)

• Selecting cash management models from a multiobjective perspective
• A network optimization approach to efficient cash management in India
• The generalized cash balance problem: optimization‐based one step ahead optimal control

Describes a project that uses

Uses Software

• Gurobi

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