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Minimum-variance hedging for managing risks in inventory models with price fluctuations

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Date

2017

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Conference Proceeding

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Abstract

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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Now Publishers

Subject

Management science , Operations research

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Foundations and Trends in Technology, Information and Operations Management

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DOI

10.1561/0200000073

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https://doi.org/10.1561/0200000073
 https://hdl.handle.net/20.500.14288/16965

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