Administración de Efectivo

Administracin de efectivo
Este modelo se denomina el modelo de administracin de efectivo de Miller-Orr. Al comienzo de cada da, si el efectivo d
encima el lmite superior U, se transfiere suficiente efectivo a un mercado monetario para disminuir el nivel de efectivo h
otra parte, si el efectivo disponible desciende por debajo del nivel mnimo M, se transfiere dinero del mercado monetari
efectivo alcance el objetivo T. Se trata de un flujo de caja que sigue una distribucin normal con la media $0 y la desviaci
Hay dos variables de decisin, U y T. El nivel mnimo M lo establece la poltica del banco en $15,000. El objetivo es maxim
a lo largo del horizonte de tiempo, donde el beneficio es el inters en el mercado monetario menos los costos de las tran
supone que cada transaccin cuesta lo mismo, independientemente del tipo o las dimensiones de la transaccin. Esta co
cambiarse con facilidad.) Las restricciones son que M <= T <= U. Adems, es realista exigir que T y U sean elegantes nme
puede hacerse en RISKOptimizer 6.0 con la opcin Discreto en las celdas ajustables, utilizando un tamao de paso de, po
La solucin que se muestra no es ptima.
Nota: Se requiere la edicin Industrial para utilizar la funcin RISKOptimizer de @RISK.
mienzo de cada da, si el efectivo disponible aumenta por

ara disminuir el nivel de efectivo hasta el objetivo T. Por
ere dinero del mercado monetario para que el nivel de
rmal con la media $0 y la desviacin estndar $10,000.
o en $15,000. El objetivo es maximizar el beneficio medio

etario menos los costos de las transacciones. (El modelo
nsiones de la transaccin. Esta condicin podra
gir que T y U sean elegantes nmeros redondos, lo que
izando un tamao de paso de, por ejemplo, $100.
Entradas
Costo de la transaccin
Mercado monetario inicial
Tasa del mercado monetario diaria
Efectivo inicial
Efectivo requerido mnimo M
$30
$100,000
0.025%
$28,000
$15,000
Decisiones
Lmite superior U
Objetivo T
$50,000
$25,000
Salida de la simulacin a continuacin

Beneficio final
#NAME?
Simulacin de 100 das
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Vender Efectivo de
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Costo de la
transaccin Flujo de caja
$0 #NAME?
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Efectivo
final
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Mercado
monetario
inicial
$100,000
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Mercado
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final
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Inters
ganado
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Administración de Efectivo

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Administracin de efectivo

mienzo de cada da, si el efectivo disponible aumenta por

o en $15,000. El objetivo es maximizar el beneficio medio

Salida de la simulacin a continuacin

Simulacin de 100 das

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