The paper fits cash management models to data using stochastic and linear programming.
problem Cash flow probability distribution assumptions in cash management models are relaxed.
method Stochastic and linear programming to fit models to data.
result A small random sample of data is sufficient to fit bound-based models.
Cash management is concerned with optimizing the short-term funding requirements of a company. To this end, different optimization strategies have been proposed to minimize costs using daily cash flow forecasts as the main input to the models. However, the effect of the accuracy of such forecasts on cash management pol…
Model cash management under ambiguity using maxmin preferences and diffusion.
problem Optimizing cash reserves in the presence of ambiguity.
method Singular control model with maxmin preferences, verified using Dynkin games.
result Higher expected costs and narrower inaction region under increased ambiguity.
Selecting the best policy to keep the balance between what a company holds in cash and what is placed in alternative investments is by no means straightforward. We here introduce PyCaMa, a Python module for multiobjective cash management based on linear programming that allows to derive optimal policies for cash manage…
The basic financial purpose of corporation is creation of its value. Liquidity management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization as the basic financial purpose. These boo…
Cash managers make daily decisions based on predicted monetary inflows from debtors and outflows to creditors. Usual assumptions on the statistical properties of daily net cash flow include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set from…
Study finds Indian mutual funds adjust cash holdings based on inflows, impacting stock purchases.
problem Active liquidity management by mutual funds in India.
method Examined cash holdings and stock purchases of Indian equity mutual funds.
result Funds with active liquidity choices outperform, highlighting the importance of this strategy.
Optimizes cash management in ATM networks to reduce costs and increase revenue.
problem Minimizing cash costs while ensuring adequate funds in a network of ATMs.
method Developed a discrete optimal control model using forecasting techniques and control theory.
result The proposed model outperforms classical inventory management models, earning 30% more revenue.
We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can also be defined and computed. This method is self-consistent, easy to implement and computationally efficient. It has the…
ADMM solves constrained CASH problems by breaking them into smaller, manageable pieces.
problem Handling black-box constraints in CASH problems.
method Leverages ADMM optimization framework to decompose CASH problems.
result ADMM facilitates incorporation of black-box constraints.
Ensemble method for fast portfolio valuation and risk management.
problem Dynamic portfolio valuation and risk management from cash flow data.
method Regression trees for dynamic value process learning.
result Fast and accurate estimator with closed-form solution.
The paper explores how innovative financing solutions boost Moroccan businesses' performance.
problem Market volatility, ecological transitions, and technological change pose challenges to business sustainability.
method Examines innovative financing solutions like venture capital, green finance, crowdfunding, and blockchain.
result Embracing innovative financial strategies can transform business challenges into opportunities.
Paper defines the payback period for nonconventional cash flows using axioms.
problem Defining the payback period for nonconventional cash flows is challenging.
method Used axiomatic approach to define the payback period.
result The last break-even point of the project balance is the only definition consistent with axioms.
Study examines cash conversion cycle in manufacturing firms, finding negative relationships with profitability and size.
problem Understanding cash conversion cycle in manufacturing firms and its impact on profitability and size.
method Empirical study of 30 manufacturing firms in Dhaka Stock Exchanges, categorizing them into six industries, analyzing industry averages and relationships with size and profitability.
result Negative relationship between cash conversion cycle and profitability, especially ROE; negative relationship with firm size in terms of net sales.
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is fixed. Then the residual cash flow is managed by repeated one-period replicatio…
This paper offers a mathematical framework to manage inventory risk in FX cash markets.
problem Inventory risk in FX cash markets due to flow uncertainty and volatility.
method Mathematical framework and approximation techniques for scalability.
result Maximizing expected profit while controlling inventory risk.
Study cash-flow forecasting for derivatives, aligning with replication strategy and addressing timing frictions.
problem Inconsistencies in cash-flow forecasting under different measures and stochastic payment times.
method Use discounting sensitivities (funding-curve hedge ratios) for replication and propose a liquidity valuation adjustment.
result Aligns forecasting with replication strategy and avoids measure-mixing issues.
Study optimizes insurance liability cash flows with regulatory capital requirements.
problem Valuation of insurance liabilities under regulatory capital constraints.
method Multiple-prior optimal stopping theory applied to insurance liabilities, considering hypothetical transfer and repeated capital requirements.
result Proposes a valuation functional for non-replicable cash flows, incorporating a margin for regulatory capital considerations.
New risk measure considers horizon risk and interest rate uncertainty.
problem Dynamic risk evaluation considering horizon risk and interest rate uncertainty.
method Introduced a risk measure based on generalized Tsallis entropy.
result New q-entropic risk measure quantifies capital requirement.
In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or subjective) measure in a possibly incomplete market. Our approach is suitable also to inco…
The paper analyzes portfolio management in the Heston model, proposing new strategies.
problem Investment performance influenced by asset diversity and cash inclusion.
method Monte Carlo simulations in the Heston model, MACD and RSI technical analysis.
result New portfolio management strategies based on MACD and RSI.
Paper introduces Lambda EVaR, a new risk measure.
problem Risk management, especially in finance.
method Lambda extension of Rényi entropic value-at-risk (Λ-EVaR). Defines properties and provides axiomatic characterization.
result Λ-EVaR bridges adaptive risk tolerance and moment-sensitive risk assessment.
We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned value process is given in closed form thanks to a suitable choice of the kernel.…
Unified framework for robust risk measures beyond convexity.
problem Developing risk measures for uncertainty beyond classical convexity.
method Constructing robust quasi-convex measures through uncertainty sets.
result Unified framework for robust quasi-convex risk measures.
A new method prices time-to-event cash flows using survival analysis.
problem Pricing insurance investment portfolios with time-to-event cash flows.
method Discrete-time survival analysis framework, hazard rate estimators, asymptotic multivariate normality.
result Pricing model yields estimates closer to actual cash flows than non-random models.
Study introduces new financial ratios for better predicting company performance.
problem Lack of progress in predicting company performance and assessing financial risks.
method Developed new financial and macroeconomic ratios, supervised learning models, and Bayesian models.
result New proposed variables improve model accuracy and FNN performs best across multiple tasks.
Paper optimizes DC pension fund management with VaR and relative performance constraints.
problem Optimizing DC pension fund performance under VaR and relative performance constraints.
method Introduced an auxiliary process to transform the problem into a self-financing problem, combined linearization, Lagrange dual, martingale, and concavification methods.
result Explicit investment strategies obtained for certain penalty and reward functions.
Optimizes pension fund management under funding risks.
problem Managing DB pension fund under underfunded and overfunded conditions.
method Stochastic model with Ornstein-Uhlenbeck interest rate, geometric Brownian motion for benefits, and cash, bond, stock investments.
result Optimal wealth process, portfolio, and efficient frontier obtained under various tolerance levels for solvency risk.
In this paper we solve the dividend optimization problem for a corporation or a financial institution when the managers of the corporation are facing (regulatory) implementation delays. We consider several cash reservoir models for the firm including two mean-reverting processes, Ornstein-Uhlenbeck and square-root proc…
Optimizes liquidations in decentralized finance to manage credit risk.
problem Managing and liquidating positions in decentralized finance exchanges.
method Formulated as an ergodic optimal control problem, derived closed-form solutions for optimal liquidation strategies.
result Closed-form solutions balance immediate executions with price impacts and long-term rewards.
Study cash-subadditive risk measures without quasi-convexity.
problem Cash subadditivity without quasi-convexity.
method Represent cash-subadditive risk measures as lower envelopes of quasi-convex measures and introduce quasi-star-shapedness.
result General cash-subadditive risk measures can be represented as lower envelopes of quasi-convex measures.
Optimal control of reserve assets for stablecoins to maintain peg stability.
problem Balancing immediate liquidity and yield on reserve assets for stablecoin peg maintenance.
method Developed a stochastic model predictive control framework with moment closure for event intensities, incorporating a soft-thresholding structure for rebalancing.
result Optimal policy shifts predictably toward cash as expected outflows intensify or windows lengthen, preserving most bill carry in calm markets and quickly building cash during stress.
A new mathematical framework simplifies securitization structuring.
problem Challenges in structuring asset-backed securities.
method PEAL Method: a 10-step mathematical framework.
result Enhances risk characterization and market transparency.
This paper examines the dividend and investment policies of a cash constrained firm that has access to costly external funding. We depart from the literature by allowing the firm to issue collateralized debt to increase its investment in productive assets resulting in a performance sensitive interest rate on debt. We f…
In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information entropy as a natural measure of diversity. This leads to a hirarchical inequality meas…
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to preserve the original difference between the numeraire of the current reserve amo…
A modular cash-overlay rule for allocating between a fixed growth-defensive risky sleeve and interest-bearing cash.
problem Drawdown control
method Continuous cash-overlay filters
result Earnings an 18.83% CAGR versus 16.62% for 100% R
Paper develops models to forecast private equity fund cash flows.
problem Limited literature on illiquid alternative asset cash flow forecasting.
method Develops benchmark model and two novel approaches (direct vs. indirect) using LSTM/GRU models and macroeconomic indicators.
result Direct model performs better and aligns with actual cash flows, but indirect model's performance is less clear.
This paper examines the risk-adjusted performance and differential fund flows for socially responsible mutual funds (SRMF). The results show that SRMF rated high on ESG, perform better than lower rated ESG funds during the period of economic crisis. The findings also show that low ESG rated SRMF had higher differential…
Simplified proof for asset pricing theory.
problem Complexity in asset pricing theory.
method Accessible proof without real-world measure.
result No need for real-world measure for derivative securities.
A new framework for asset pricing based on modelling the information available to market participants is presented. Each asset is characterised by the cash flows it generates. Each cash flow is expressed as a function of one or more independent random variables called market factors or "X-factors". Each X-factor is ass…
Study on inventory management under uncertainty using smooth ambiguity preference.
problem Managing inventory under Knightian uncertainty with smooth ambiguity preference.
method Demonstrates continuous-time smooth ambiguity as the infinitesimal limit of Kalman-Bucy filtering with recursive robust utility. Solves forward-backward stochastic differential equations with quadratic growth to determine cost function. Derives value function and optimal control policy using variational inequalities and viscosity solutions. Transforms problem into two-dimensional singular control.
result Ambiguity drives decision-makers to act earlier, reducing the continuation region.
Study evaluates valuation models for UK companies using case studies.
problem Determining how accounting numbers affect business value.
method Comprehensive review of three valuation models: FCFVM, REVM, AEGM.
result Accounting numbers through valuation models can affect business value.
Auto-CASH uses Deep Q-Network to automatically select machine learning algorithms.
problem Automatic selection of machine learning algorithms and hyperparameters.
method Pre-trained model based on meta-learning using Deep Q-Network.
result Auto-CASH achieves better performance with shorter time compared to classical and state-of-the-art methods.
A new framework tackles CASH problem with alternating optimization and Rising Bandits.
problem Efficiently solving the Combined Algorithm Selection and Hyperparameter optimization (CASH) problem.
method Alternating optimization framework using BO for HPO and Rising Bandits for algorithm selection.
result Demonstrated superiority over competitive baselines in extensive experiments.
The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it introduces a determination of the crediting rate to policyholders that is close to the p…
The study finds cash productivity predicts stock performance in a specific subset of firms.
problem Predicting future stock performance using cash productivity.
method Using financial and market data, calculated cash returns as a proxy for operational efficiency, and tested a long-only strategy on Nasdaq-listed non-financial firms.
result Cash productivity has significant predictive power in a handpicked portfolio but limited across the broader Nasdaq universe.
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a risk-free bond, on the grou…