Separation results for multi-product inventory hedging problems

Yuemeng Sun (), Johannes Wissel () and Peter Jackson ()

Annals of Operations Research, 2016, vol. 237, issue 1, 143-159

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. Copyright Springer Science+Business Media New York 2016

Keywords: Inventory hedging; Multi-product separation; Mean-variance hedging; Incomplete market (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10479-013-1473-6 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:237:y:2016:i:1:p:143-159:10.1007/s10479-013-1473-6

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-013-1473-6

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().