Research Project: Envanter Modellerinde Risk Yönetimi
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Contributors
Funders
ID
TB.00051
Authors
Özekici, Süleyman
Faculty Member
Publications
Hedging demand and supply risks in the newsvendor model
(Springer, 2015) Karaesmen, Fikri; Okyay, Hayrettin Kaan; Özekici, Süleyman; Department of Industrial Engineering; Yes; College of Engineering
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.
Newsvendor models with dependent random supply and demand
(Springer Heidelberg, 2014) Karaesmen, Fikri; Okyay, Hayrettin Kaan; Özekici, Süleyman; Department of Industrial Engineering; Yes; College of Engineering
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.
An inventory model where customer demand is dependent on a stochastic price process
(Elsevier , 2019) Karaesmen, Fikri; Özekici, Süleyman; Canyakmaz, Caner; Department of Industrial Engineering; Yes; College of Engineering
We investigate the optimal inventory operations of a firm selling an item whose price is driven by an exogenous stochastic price process which consequently impacts customer arrivals between ordering cycles. This case is typical for retailers that operate in different currencies, or trade products consisting of commodities or components whose prices are subject to market fluctuations. We assume that there is a stochastic input price process for the inventory item which determines purchase and selling prices according to a general selling price function. Customers arrive according to a doubly-stochastic Poisson process that is modulated by stochastic input prices. We analyze optimal ordering decisions for both backorder and lost-sale cases. We show that under certain conditions, a price-dependent base stock policy is optimal. Our analysis is then extended to a price-modulated compound Poisson demand case, and the case with fixed ordering cost where a price-dependent (s, S) policy is optimal. We present a numerical study on the sensitivity of optimal profit to various parameters of the operational setting and stochastic price process such as price volatility, customer sensitivity to price changes etc. We then make a comparison with a corresponding discrete-time benchmark model that ignores within-period price fluctuations and present the optimality gap when using the benchmark model as an approximation.
