Cash flow management by risk-neutral and risk-averse stochastic approaches

Giovanni Margarido Righetto, Reinaldo Morabito, Douglas Alem

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

TThis article presents a dynamic cash flow management problem with uncertain parameters in a finite planning horizon via two-stage stochastic programming (SP). We propose a risk-neutral mixed-integer two-stage SP model and risk-averse versions based on the minimax regret and conditional value-at-risk (CVaR) criteria. The models support decisions in cash management that deals with different grace periods, piecewise linear yields and uncertainty in the exchange rate of external sales. The developed approach is applied to a real-world stationery company in Brazil. Numerical results assess the trade-off between risk and return, showing that the optimisation models generate effective solutions for the company’s treasury with reduced risks, which might be appealing for companies from other sectors as well.
Original languageEnglish
Pages (from-to)55-68
Number of pages14
JournalJournal of the Operational Research Society
Issue number1
Early online date17 Feb 2019
Publication statusPublished - Jan 2020

Keywords / Materials (for Non-textual outputs)

  • cash flow management
  • mixed-integer programming
  • stochastic programming
  • minimax with regret
  • conditional value-at-risk
  • stationery industry


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