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

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dc.contributor.departmentDepartment of Industrial Engineering
dc.contributor.departmentGraduate School of Sciences and Engineering
dc.contributor.kuauthorCanyakmaz, Caner
dc.contributor.kuauthorKaraesmen, Fikri
dc.contributor.kuauthorÖzekici, Süleyman
dc.contributor.schoolcollegeinstituteCollege of Engineering
dc.contributor.schoolcollegeinstituteGRADUATE SCHOOL OF SCIENCES AND ENGINEERING
dc.date.accessioned2024-11-10T00:08:31Z
dc.date.issued2017
dc.description.abstractWe 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.
dc.description.indexedbyScopus
dc.description.issue44928
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.description.volume11
dc.identifier.doi10.1561/0200000073
dc.identifier.issn1571-9545
dc.identifier.scopus2-s2.0-85039774696
dc.identifier.urihttps://doi.org/10.1561/0200000073
dc.identifier.urihttps://hdl.handle.net/20.500.14288/16965
dc.keywordsContinuous time systems
dc.keywordsCosts
dc.keywordsFinance
dc.keywordsInventory control
dc.keywordsRisk management
dc.keywordsSupply chains
dc.language.isoeng
dc.publisherNow Publishers
dc.relation.ispartofFoundations and Trends in Technology, Information and Operations Management
dc.subjectManagement science
dc.subjectOperations research
dc.titleMinimum-variance hedging for managing risks in inventory models with price fluctuations
dc.typeConference Proceeding
dspace.entity.typePublication
local.contributor.kuauthorCanyakmaz, Caner
local.contributor.kuauthorKaraesmen, Fikri
local.contributor.kuauthorÖzekici, Süleyman
local.publication.orgunit1GRADUATE SCHOOL OF SCIENCES AND ENGINEERING
local.publication.orgunit1College of Engineering
local.publication.orgunit2Department of Industrial Engineering
local.publication.orgunit2Graduate School of Sciences and Engineering
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