Separation results for multi-product inventory hedging problems

DOI10.1007/S10479-013-1473-6zbMATH Open1336.90012OpenAlexW1995114443MaRDI QIDQ286002FDOQ286002

Peter L. Jackson, Johannes Wissel, Yuemeng Sun

Publication date: 19 May 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-013-1473-6

zbMATH Keywords

incomplete marketinventory hedgingmean-variance hedgingmulti-product separation

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05)

Cites Work

• Title not available (Why is that?)
• Continuous-time stochastic control and optimization with financial applications
• On the structure of general mean-variance hedging strategies
• A guided tour through quadratic hedging approaches
• Guest editorial
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Mean-variance hedging for general claims
• Risk Aversion in Inventory Management
• Supply Contracts with Financial Hedging
• Optimal Control and Hedging of Operations in the Presence of Financial Markets

Cited In (3)

• Supply chain network equilibrium with strategic financial hedging using futures
• Optimal allocation of a fixed production under price uncertainty
• Financial hedging and competitive strategy for value-maximizing firms under quantity competition

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