Cash Management Policies by Evolutionary Models: a Comparison Using the Miller-Orr Model

Moraes, Marcelo Botelho da Costa; Nagano, Marcelo Seido

doi:10.4301/s1807-17752013000300006

Cited by 8 publications

(4 citation statements)

References 24 publications

(29 reference statements)

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“…Vörösmarty and Dobos (2013) show that zero current account balance is omniscient optimal via an algebraic proof. Moraes and Nagano (2013, 2014) and da Costa Moraes et al. (2015), in a series of papers, investigate optimization of the Miller–Orr algorithm using evolutionary optimization, including the case of multiple assets.…”

Section: Literature Reviewmentioning

confidence: 99%

The generalized cash balance problem: optimization‐based one step ahead optimal control

Bhaya

Kaszkurewicz

2022

Int Trans Operational Res

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This paper generalizes the Sethi–Thompson model of cash balance dynamics to the case of multiple current and investment accounts, with the cash flows or demands incident on the current accounts. Cash transfers can occur between any pair of current–current or current–investment accounts, with transaction costs proportional to the amount transferred, always deducted from current accounts. Performance indices are defined and maximization of an index for the next instant (day), by suitable choice of cash transfers that satisfy desired constraints on account balances, defines the basic optimal control problem referred to as one step ahead optimal control. It is shown that this one step ahead optimal control can be written as a mixed integer linear program of small size, leading to an implementable real time strategy for the generalized cash balance problem. In addition, for the simple case of a single cash and investment account, the proposed strategy is derived analytically and compared with a strategy of Miller–Orr type, called a three‐level strategy. Omniscient optimal control over a horizon is defined as the globally optimal control strategy, assuming the demands over the entire horizon to be known: although computable a posteriori, it is not implementable a priori, and only serves as a benchmark for comparison. The proposed one step ahead optimal or myopic approach makes no assumptions about the distribution of cash demands, and examples show that it attains performance indices which are superior to those attained by three‐level control strategies, and compare favorably with the omniscient benchmark performance indices.

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Section: Literature Reviewmentioning

confidence: 99%

The generalized cash balance problem: optimization‐based one step ahead optimal control

Bhaya

Kaszkurewicz

2022

Int Trans Operational Res

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“…The theory figures out how to accomplish a sensible level of authenticity while not being excessively detailed. It conjectures that the aggregate cash flows are constantly distributed with very low levels of the mean and standard deviation (Moraes & Nagano, 2013). It accepts that the day by day cash flows are unverifiable and in this manner take after a trendless random walk.…”

Section: Cash Management Theorymentioning

confidence: 99%

Financial Control Practices and Financial Sustainability of Non Governmental Organization in Garissa County, Kenya

Dagane

Kihara

2021

IJF

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Purpose: The current study sought to establish how financial control practices influences financial sustainability of Non-Governmental Organization in Garissa County, Kenya. The study specifically sought to establish how financial reporting, financial monitoring, financial audits and financial risk assessment influences financial sustainability of NGOs. Methodology: The study was anchored on the following theories: Agency Theory, Liquidity Trade-Off Theory, Cash Management Theory And The Rent Theory of Profitability. The study employed a descriptive survey research design and targeted 50 Non-Governmental Organizations operating in Garissa County. The unit of observation comprised of one finance manager and one operational manager from each of the NGO. Both primary and secondary data were used in the study. Structured questionnaires were used in collecting the data. The study employed both inferential and descriptive statistics to analyze the collected data. Both SPSS software and MS Excel was used in generating the statistics. The study conducted a pilot study in 10 NGOs from Wajir County to assess the reliability and validity of the data collection instrument. The results of the study were presented in form of figures and tables. Results: The results of the study revealed that financial reporting, financial monitoring, financial audits and financial risk assessment impacts financial sustainability of NGOs to a positive and significant level as shown by Beta value of 0.317, 0.213, 0.447 and 0.376 respectively. This implies that increase in one unit of each of the variables results to an increase in the financial sustainability levels of NGOs with the respective beta values. Unique contribution to theory, policy and practice The study recommended that there is a need for the NGOs operating in Garissa County to enhance their financial reporting practices, financial monitoring practices, financial audit practices and financial risk assessment practices since the practices bears a positive and a significant effect on financial sustainability of the organization.

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“…In a recent extension of this model, Bar-Ilan et al [7] presented a general cash management model that was considered to be an impulse control problem in the process of stochastic money flow. Moraes and Nagano [8] proposed the application of computational evolutionary models to minimize the total cost of cash balance maintenance, and obtain the parameters for a cash management policy. Song et al [9] presented a model using a dynamic programming method that does not need to satisfy the condition that cash flow has a normal distribution.…”

Section: Introductionmentioning

confidence: 99%

Optimal Uncertain Controls for Cash Holding Problems

Wang

Zhao

2019

Mathematics

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Determining whether an enterprise has target holdings and figuring out how to reasonably determine these cash holdings are common problems faced by all enterprises. This paper first establishes an uncertain optimal cash holdings model with a security area constraint, and then proves that the model is a typical bang–bang control model. The control variables in the model can be expressed as a symbolic function. Then, under the specific objective function, the optimal cash holdings are discussedfor two casesincluding whether to consider transaction costs or not. Finally, the applicability of the model is verified by specific examples, and the influences of factors, including risky asset returns and the transaction cost of unit securities on decision-making results are discussed.

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Cash Management Policies by Evolutionary Models: a Comparison Using the Miller-Orr Model

Cited by 8 publications

References 24 publications

The generalized cash balance problem: optimization‐based one step ahead optimal control

The generalized cash balance problem: optimization‐based one step ahead optimal control

Financial Control Practices and Financial Sustainability of Non Governmental Organization in Garissa County, Kenya

Optimal Uncertain Controls for Cash Holding Problems

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