An analytic derivation of the efficient frontier in biobjective cash management and its implications for policies

DOI10.1007/s10479-023-05433-zzbMath1519.91284OpenAlexW4380372561MaRDI QIDQ6179231

David Pla-Santamaria, Juan A. Rodríguez-Aguilar, Francisco Salas-Molina

Publication date: 5 September 2023

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-023-05433-z

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Cites Work

• A multi-objective approach to the cash management problem
• Selecting cash management models from a multiobjective perspective
• Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models
• On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection
• Competitive difference analysis of the cash management problem with uncertain demands
• An analytical derivation of the efficient surface in portfolio selection with three criteria
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• The Theory of Statistical Decision
• Selecting the best risk measure in multiobjective cash management

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