Risk Hedging for Production Planning

• 成果类型: Article
• 署名作者: Wang, Liao; Yao, David D.
• 署名单位: University of Hong Kong; Columbia University
• 刊物名称: PRODUCTION AND OPERATIONS MANAGEMENT
• ISSN/ISSBN: 1059-1478
• DOI: 10.1111/poms.13103
• 发表日期: 2021
• 页码: 1825-1837
• 关键词: production risk management; Data analytics; hedging strategy

摘要

Traditional production planning is primarily a quantity or capacity decision, which must be made at the beginning of a planning horizon before production starts. Adding to this decision a real-time control, a risk-hedging strategy carried out throughout the horizon can better mitigate the risk involved in demand volatility. We demonstrate how this can be done in terms of jointly optimizing the capacity and the hedging decisions, addressing both the mean-variance and the shortfall objectives. Solution techniques, results, and insights are highlighted. In particular, we illustrate that our approach readily accommodates data analytics and explicitly quantifies the improvement to the efficient frontier contributed by hedging.