Separation results for multi-product inventory hedging problems

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• 作者：Yuemeng Sun ; Johannes Wissel ; Peter L. Jackson
• 关键词：Inventory hedging ; Multi ; product separation ; Mean ; variance hedging ; Incomplete market
• 刊名：Annals of Operations Research
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：237
• 期：1-2
• 页码：143-159
• 全文大小：1,054 KB
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• 作者单位：Yuemeng Sun (1)
  Johannes Wissel (2)
  Peter L. Jackson (3)
  
  1. School of Operations Research and Information Engineering, Cornell University, 288 Rhodes Hall, Ithaca, NY, 14853, USA
  2. School of Operations Research and Information Engineering, Cornell University, 274 Rhodes Hall, Ithaca, NY, 14853, USA
  3. School of Operations Research and Information Engineering, Cornell University, 218 Rhodes Hall, Ithaca, NY, 14853, USA
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Operation Research and Decision Theory
  Combinatorics
  Theory of Computation
  
• 出版者：Springer Netherlands
• ISSN：1572-9338

文摘

We analyze financial hedging tools for inventory management in a risk-averse corporation. We consider the problem of optimizing simultaneously over both the operational policy and the hedging policy of the corporation in a multi-product model. Our main contribution is a separation result such that for a corporation with multiple products and inventory departments, the inventory decisions of each department can be made independently of the other departments’ decisions. That is, no interaction needs to be considered among different products.