Supply Portfolio Selection and Execution with Demand Information Updates

Haifeng Wang () and Houmin Yan ()
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Haifeng Wang: Tsinghua University
Houmin Yan: Chinese University of Hong Kong

Chapter Chapter 13 in Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems, 2006, pp 249-279 from Springer

Abstract: Abstract This paper considers a problem of multi-period supply portfolio selection and execution with demand information updates. A supply portfolio specifies a buyer’s decision on selecting sourcing mix from among a group of suppliers. We develop a framework for optimal supply portfolio selection and execution. Further, we demonstrate that the optimal portfolio selection follows a base-stock policy and the option execution follows a modified base-stock policy. We also develop the structural properties of the optimal policy with respect to option contracts and inventories.

Keywords: Portfolio selection; option contract; base-stock policy; supply chain management (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-0-387-33815-6_13

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DOI: 10.1007/0-387-33815-2_13

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