Separation results for multi-product inventory hedging problems

Yuemeng Sun (), Johannes Wissel () and Peter L. Jackson ()
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Yuemeng Sun: Cornell University
Johannes Wissel: Cornell University
Peter L. Jackson: Cornell University

Annals of Operations Research, 2016, vol. 237, issue 1, No 8, 143-159

Abstract: Abstract 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.

Keywords: Inventory hedging; Multi-product separation; Mean-variance hedging; Incomplete market (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s10479-013-1473-6

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