Evolutionary models in cash management policies with multiple assets

a r t i c l e i n f o This work aimed to apply genetic algorithms (GA) and particle swarm optimization (PSO) in cash balance management using multiple asset investments. This problem consists of a stochastic model that does not define a single ideal point for cash balance, but an oscillation range between a lower bound, an ideal balance and an upper bound. Thus, this paper proposes the application of GA and PSO to minimize the total cost of cash maintenance , by obtaining the parameters of a cash management policy with three assets (cash and two investments), and using the assumptions presented in literature. Computational experiments were applied in the development and validation of the models. The results indicated that both the GA and PSO are applicable in determining the cash management policy, but with better results for the PSO model. Management of the available cash balance is a constant problem in all organizations. This is due to the daily in-and outflows of cash, whether by the activities of the company or financial transactions that it had negotiated. Thus, there is need to control financial resources to obtain the best result for the organization. In this way, the function of cash management has responsibilities such as to mobilize, control and plan the financial resources of the companies (Srinivasan and Kim, 1986). With this, the use of models to support the decision-making with the application of metaheuristics becomes pertinent, since they can provide a comprehensive and optimization view of something that hardly can be obtained without using methodologies (Vob, 2001). So, the use of models in the problem of defining the ideal level of available cash balance has arisen from the studies of Baumol (1952) and Tobin (1956), where the authors start with the assumption that the available cash can be defined as a commodity in inventory, i.e., a standardized-good, whose control can be done daily, weekly, monthly, etc., depending on the level of temporal details of the company. For these authors, defining the optimal cash balance follows the standard of the inventory lot size models, where it is considered the available financial resource as an inventory, which has some costs associated with its origin and maintenance, but that it also generates indispensable benefits for the organization. Meantime, the application of the models of Baumol and Tobin is not possible for comparative purposes, due to the limitation of …