Monitoring multidimensional phenomena with a multicriteria composite performance interval approach

[EN] In the last two decades, the construction of composite indicators to measure and compare multidimensional phenomena in a broad spectrum of domains has increased considerably. Different methodological approaches are used to summarise huge datasets of information in a single figure. This paper proposes a new approach that consists in computing a multicriteria composite performance interval based on different aggregation rules. The suggested approach provides an additional layer of information as the performance interval displays a lower bound from a non-compensability perspective, and an upper bound allowing for full-compensability. The outstanding features of this proposal are: 1) a dis…

Empirical analysis of daily cash flow time-series and its implications for forecasting

Usual assumptions on the statistical properties of daily net cash flows include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set showing that: (i) the usual assumption of normality, absence of correlation and stationarity hardly appear; (ii) non-linearity is often relevant for forecasting; and (iii) typical data transformations have little impact on linearity and normality. This evidence may lead to consider a more data-driven approach such as time-series forecasting in an attempt to provide cash managers with expert systems in cash management.

Fitting random cash management models to data

Abstract Organizations use cash management models to control balances to both avoid overdrafts and obtain a profit from short-term investments. Most management models are based on control bounds which are derived from the assumption of a particular cash flow probability distribution. In this paper, we relax this strong assumption to fit cash management models to data by means of stochastic and linear programming. We also introduce ensembles of random cash management models which are built by randomly selecting a subsequence of the original cash flow data set. We illustrate our approach by means of a real case study showing that a small random sample of data is enough to fit sufficiently goo…

Selecting the best risk measure in multiobjective cash management

A Compact Representation of Preferences in Multiple Criteria Optimization Problems

A critical step in multiple criteria optimization is setting the preferences for all the criteria under consideration. Several methodologies have been proposed to compute the relative priority of criteria when preference relations can be expressed either by ordinal or by cardinal information. The analytic hierarchy process introduces relative priority levels and cardinal preferences. Lexicographical orders combine both ordinal and cardinal preferences and present the additional difficulty of establishing strict priority levels. To enhance the process of setting preferences, we propose a compact representation that subsumes the most common preference schemes in a single algebraic object. We …

Inverse Malthusianism and Recycling Economics: The Case of the Textile Industry

The current use of natural resources in the textile industry leads us to introduce a new economic concept called inverse Malthusianism describing a context in which population grows linearly and resource consumption grows exponentially. Inverse Malthusianism implies an exponential increase in environmental impact that recycling may contribute to reduce. Our main goal is to extend the analysis of materials selection under the principle of equimarginality proposed by Jevons. As a first result, we show the particular circumstances under which policies excluding recycled supplies are never optimal. We also aim to overcome the difficulties of reducing environmental aspects to monetary units. To …

A multicriteria extension of the efficient market hypothesis

Challenging the Efficient Market Hypothesis (EMH) has been a recurrent topic for researchers and practitioners since its formulation. Hundreds of empirical studies claim to either prove or disprove the EMH by means of a number of heterogeneous methods. Even though the EMH is usually adjusted to a measure of risk, there is a lack of a formal analysis within a multiple-criteria context. In this paper, we propose a extension of the EMH that accommodates the foundations of multiple-criteria decision analysis. To this end, we rely on a family of parametric signed dissimilarity measures to assess multidimensional performance differences. Since normalization is a critical step in our approach to a…

Multiple-criteria cash-management policies with particular liquidity terms

Abstract Eliciting policies for cash management systems with multiple assets is by no means straightforward. Both the particular relationship between alternative assets and time delays from control decisions to availability of cash introduce additional difficulties. Here we propose a cash management model to derive short-term finance policies when considering multiple assets with different expected returns and particular liquidity terms for each alternative asset. In order to deal with the inherent uncertainty about the near future introduced by cash flows, we use forecasts as a key input to the model. We express uncertainty as lack of predictive accuracy and we derive a deterministic equiv…