Optimal Control and Hedging of Operations in the Presence of Financial Markets

DOI10.1287/MOOR.1050.0179MaRDI QIDQ5387980zbMATH OpenOpenAlexFDO

Authors René Caldentey, Martin B. Haugh

Publication date 27 May 2008

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.1050.0179

zbMATH Keywords

incomplete marketsoperations managementportfolio optimizationstochastic control

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Inventory, storage, reservoirs (90B05) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)

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• Pricing and hedging in incomplete markets with model uncertainty
• Separation results for multi-product inventory hedging problems
• Operations-finance interface models: a literature review and framework
• Equity valuation, production, and financial planning: A stochastic programming approach
• FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY
• Mean-variance hedging with oil futures
• Combined custom hedging: optimal design, noninsurable exposure, and operational risk management
• Operational risk management: a stochastic control framework with preventive and corrective controls
• An equilibrium model for spot and forward prices of commodities
• Joint optimal ordering and weather hedging decisions: mean-CVaR model
• Supply chain structure, debt financing and product market competition
• Cash hedging versus responsive pricing: equilibrium analysis under price competition

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