Researcher:
Okyay, Hayrettin Kaan

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Master Student

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Hayrettin Kaan

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Okyay

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Okyay, Hayrettin Kaan

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2014 - 20152

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Researcher Of Publications: search.filters.isAuthorOfPublication.ff32d9f5-cfee-4ab4-822d-a7c0cf6a1ac9

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    Hedging demand and supply risks in the newsvendor model
    (Springer, 2015) N/A; N/A; Department of Industrial Engineering; Department of Industrial Engineering; Okyay, Hayrettin Kaan; Karaesmen, Fikri; Özekici, Süleyman; Master Student; Faculty Member; Faculty Member; Department of Industrial Engineering; Graduate School of Sciences and Engineering; College of Engineering; College of Engineering; N/A; 3579; 32631
    We consider a single-period inventory model where there are risks associated with the uncertainty in demand as well as supply. Furthermore, the randomness in demand and supply is correlated with the financial markets. Recent literature provides ample evidence on this issue. The inventory manager may then exploit this correlation and manage his risks by investing in a portfolio of financial instruments. The decision problem, therefore, includes not only the determination of the optimal ordering policy, but also the selection of the optimal portfolio at the same time. We analyze this problem in detail and provide a risk-sensitive approach to inventory management where one considers both the mean and the variance of the resulting cash flow. The analysis results in some interesting and explicit characterizations on the structure of the optimal policy.
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    Newsvendor models with dependent random supply and demand
    (Springer Heidelberg, 2014) N/A; N/A; Department of Industrial Engineering; Department of Industrial Engineering; Okyay, Hayrettin Kaan; Karaesmen, Fikri; Özekici, Süleyman; Master Student; Faculty Member; Faculty Member; Department of Industrial Engineering; Graduate School of Sciences and Engineering; College of Engineering; College of Engineering; N/A; 3579; 32631
    The newsvendor model is perhaps the most widely analyzed model in inventory management. In this single-period model, the only source of randomness is the demand during the period and one tries to determine the optimal order quantity in view of various cost factors. We consider an extention where supply is also random so that the quantity ordered is not necessarily received in full at the beginning of the period. Such models have been well-received in the literature with the assumption of independence between demand and supply. In this setting, we suppose that the random demand and supply are not necessarily independent. We focus on the resulting optimization problem and provide interesting characterizations on the optimal order quantity.