Cash management policies by evolutionary models: a comparison using the Miller-Orr model
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Journal of Information Systems and Technology Management (Online) |
Texto Completo: | https://www.revistas.usp.br/jistem/article/view/78458 |
Resumo: | This work aims to apply genetic algorithms (GA) and particle swarm optimization (PSO) to managing cash balance, comparing performance results between computational models and the Miller-Orr model. Thus, the paper proposes the application of computational evolutionary models to minimize the total cost of cash balance maintenance, obtaining the parameters for a cash management policy, using assumptions presented in the literature, considering the cost of maintenance and opportunity for cost of cash. For such, we developed computational experiments from cash flows simulated to implement the algorithms. For a control purpose, an algorithm has been developed that uses the Miller-Orr model defining the lower bound parameter, which is not obtained by the original model. The results indicate that evolutionary algorithms present better results than the Miller-Orr model, with prevalence for PSO algorithm in results. |
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Journal of Information Systems and Technology Management (Online) |
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Cash management policies by evolutionary models: a comparison using the Miller-Orr model This work aims to apply genetic algorithms (GA) and particle swarm optimization (PSO) to managing cash balance, comparing performance results between computational models and the Miller-Orr model. Thus, the paper proposes the application of computational evolutionary models to minimize the total cost of cash balance maintenance, obtaining the parameters for a cash management policy, using assumptions presented in the literature, considering the cost of maintenance and opportunity for cost of cash. For such, we developed computational experiments from cash flows simulated to implement the algorithms. For a control purpose, an algorithm has been developed that uses the Miller-Orr model defining the lower bound parameter, which is not obtained by the original model. The results indicate that evolutionary algorithms present better results than the Miller-Orr model, with prevalence for PSO algorithm in results. TECSI - FEA - Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária2013-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/jistem/article/view/7845810.4301/S1807-17752013000300006Journal of Information Systems and Technology Management; v. 10 n. 3 (2013); 561-576Journal of Information Systems and Technology Management; Vol. 10 No. 3 (2013); 561-576Journal of Information Systems and Technology Management; Vol. 10 Núm. 3 (2013); 561-5761807-1775reponame:Journal of Information Systems and Technology Management (Online)instname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/jistem/article/view/78458/82514Copyright (c) 2018 JISTEM - Journal of Information Systems and Technology Management (Online)info:eu-repo/semantics/openAccessMoraes, Marcelo Botelho da Costa Nagano, Marcelo Seido 2014-07-01T10:59:48Zoai:revistas.usp.br:article/78458Revistahttp://www.scielo.br/scielo.php?script=sci_serial&pid=1807-1775&lng=pt&nrm=isoPUBhttps://old.scielo.br/oai/scielo-oai.php||jistem@usp.br1807-17751807-1775opendoar:2014-07-01T10:59:48Journal of Information Systems and Technology Management (Online) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Cash management policies by evolutionary models: a comparison using the Miller-Orr model |
title |
Cash management policies by evolutionary models: a comparison using the Miller-Orr model |
spellingShingle |
Cash management policies by evolutionary models: a comparison using the Miller-Orr model Moraes, Marcelo Botelho da Costa |
title_short |
Cash management policies by evolutionary models: a comparison using the Miller-Orr model |
title_full |
Cash management policies by evolutionary models: a comparison using the Miller-Orr model |
title_fullStr |
Cash management policies by evolutionary models: a comparison using the Miller-Orr model |
title_full_unstemmed |
Cash management policies by evolutionary models: a comparison using the Miller-Orr model |
title_sort |
Cash management policies by evolutionary models: a comparison using the Miller-Orr model |
author |
Moraes, Marcelo Botelho da Costa |
author_facet |
Moraes, Marcelo Botelho da Costa Nagano, Marcelo Seido |
author_role |
author |
author2 |
Nagano, Marcelo Seido |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Moraes, Marcelo Botelho da Costa Nagano, Marcelo Seido |
description |
This work aims to apply genetic algorithms (GA) and particle swarm optimization (PSO) to managing cash balance, comparing performance results between computational models and the Miller-Orr model. Thus, the paper proposes the application of computational evolutionary models to minimize the total cost of cash balance maintenance, obtaining the parameters for a cash management policy, using assumptions presented in the literature, considering the cost of maintenance and opportunity for cost of cash. For such, we developed computational experiments from cash flows simulated to implement the algorithms. For a control purpose, an algorithm has been developed that uses the Miller-Orr model defining the lower bound parameter, which is not obtained by the original model. The results indicate that evolutionary algorithms present better results than the Miller-Orr model, with prevalence for PSO algorithm in results. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-09-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/jistem/article/view/78458 10.4301/S1807-17752013000300006 |
url |
https://www.revistas.usp.br/jistem/article/view/78458 |
identifier_str_mv |
10.4301/S1807-17752013000300006 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/jistem/article/view/78458/82514 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2018 JISTEM - Journal of Information Systems and Technology Management (Online) info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2018 JISTEM - Journal of Information Systems and Technology Management (Online) |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
TECSI - FEA - Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
publisher.none.fl_str_mv |
TECSI - FEA - Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
dc.source.none.fl_str_mv |
Journal of Information Systems and Technology Management; v. 10 n. 3 (2013); 561-576 Journal of Information Systems and Technology Management; Vol. 10 No. 3 (2013); 561-576 Journal of Information Systems and Technology Management; Vol. 10 Núm. 3 (2013); 561-576 1807-1775 reponame:Journal of Information Systems and Technology Management (Online) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Journal of Information Systems and Technology Management (Online) |
collection |
Journal of Information Systems and Technology Management (Online) |
repository.name.fl_str_mv |
Journal of Information Systems and Technology Management (Online) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
||jistem@usp.br |
_version_ |
1809284036639588352 |