Sustainable Financial Planning using an Optimization Approach

Resumo

The main purpose of this paper is to propose a sustainable model in the Financial Planning discipline, by applying a multi-objective optimization process when setting the different corporate objectives. With this purpose, a mathematical programming model is proposed, valid for determining optimal global strategies based on a general set of objectives as asset optimization, return, cash flows or shareholder dividend, where decision variables are the changes in the patrimonial masses of the balance sheet. Given the great number of possible strategies to fit this model, an optimal subset of this set is selected by formulating an extension of the optimal Compromise Programming approach, where instead of optimizing one by one each different objective and looking for an iterative approach to target all objectives, it optimizes all objectives al the same time within the problem limits, by looking for optimum and sustainable compromise solutions regarding all objectives. The applicability of this process is illustrated with an example corresponding to a Spanish company listed in IBEX35 stock index.