Optimal procurement under backwardation and the benefits of the manifestation of demand aggregators

IF 0.8 4区管理学 Q4 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Operations Research Letters Pub Date : 2025-04-01 DOI:10.1016/j.orl.2025.107286

Ioannis Avramopoulos, Prodromos Makris, Emmanouel Varvarigos

引用次数: 0

Abstract

Normal backwardation manifests when the futures price of a commodity is below the expected future spot price. In this paper, we show how businesses can optimally leverage backwardation in their supply chain optimization. To that end, we derive the optimal amount a business ought to purchase in the futures market to take advantage of the favorable futures price in order to minimize the overall expected procurement cost. We further use Hoeffding's inequality to predict the manifestation of demand aggregators.

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现货溢价条件下的最优采购及需求聚合效应的体现

当一种商品的期货价格低于预期的未来现货价格时，就会出现正常的现货溢价。在本文中，我们展示了企业如何在供应链优化中最优地利用现货溢价。为此，我们推导出企业在期货市场上应该购买的最优数量，以利用有利的期货价格，从而使总体预期采购成本最小化。我们进一步使用Hoeffding不等式来预测需求聚合器的表现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Operations Research Letters 管理科学-运筹学与管理科学

CiteScore

2.10

自引率

9.10%

发文量

111

审稿时长

83 days

期刊介绍： Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.