Separation results for multi-product inventory hedging problems

DOI10.1007/S10479-013-1473-6MaRDI QIDQ286002zbMATH OpenOpenAlexFDO

Authors Yuemeng Sun, Johannes Wissel, Peter L. Jackson

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)

Recommendations

• Optimal Control and Hedging of Operations in the Presence of Financial Markets
• Risk Aversion in Inventory Management
• Hedging demand and supply risks in the newsvendor model
• Some multidimensional stochastic models of inventory control with a separable cost function
• Publication:4953799

Cites work

• scientific article; zbMATH DE number 17495 (Why is no real title available?)
• A guided tour through quadratic hedging approaches
• Continuous-time stochastic control and optimization with financial applications
• Guest editorial
• Mean-variance hedging for general claims
• On the minimal martingale measure and the möllmer-schweizer decomposition
• On the structure of general mean-variance hedging strategies
• Optimal Control and Hedging of Operations in the Presence of Financial Markets
• Risk Aversion in Inventory Management
• Supply contracts with financial hedging

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

This page was built for publication: Separation results for multi-product inventory hedging problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q286002)