具有价格波动的库存模型风险管理的最小方差套期保值

Foundations and Trends in Technology, Information and Operations Management Pub Date : 2017-12-20 DOI:10.1561/0200000073

Caner Canyakmaz, F. Karaesmen, S. Özekici

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引用次数: 1

摘要

我们考虑在价格和需求不确定的库存操作中出现的随机经营性现金流的财务对冲。我们使用方差最小化方法来找到一个金融投资组合，它将使运营和财务回报的总方差最小化。对于涉及连续价格波动和连续时间到达的价格依赖需求的库存模型，我们描述了最小方差对冲策略的特征，并数值说明了它们的有效性。

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Minimum-Variance Hedging for Managing Risks in Inventory Models with Price Fluctuations

We consider the financial hedging of a random operational cash flow that arises in inventory operations with price and demand uncertainty. We use a variance minimization approach to find a financial portfolio that would minimize the total variance of operational and financial returns. For inventory models that involve continuous price fluctuations and price-dependent demand that arrives in continuous time, we characterize the minimum-variance hedging policies and numerically illustrate their effectiveness.

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来源期刊

Foundations and Trends in Technology, Information and Operations Management Decision Sciences-Management Science and Operations Research

CiteScore

1.00

自引率

0.00%

发文量