Acquisition Management Under Fluctuating Raw Material Prices

• 成果类型: Article
• 署名作者: Yang, Jian; Xia, Yusen
• 署名单位: New Jersey Institute of Technology; University System of Georgia; Georgia State University
• 刊物名称: PRODUCTION AND OPERATIONS MANAGEMENT
• ISSN/ISSBN: 1059-1478
• DOI: 10.1111/j.1937-5956.2009.01010.x
• 发表日期: 2009
• 页码: 212-225
• 关键词: price fluctuation; Inventory management; make-to-order; continuous-time Markov process

摘要

We study a continuous-review acquisition problem, in which the raw material price follows a discrete-state Markov process and demand is compound Poisson. We show that one optimal policy is of the order-up-to type. Under our mean reversion and time continuity conditions, we further show that the order-up-to levels are decreasing at the current price level. At the same time, our computational study verifies that both conditions are indispensable for the monotonicity result. The study also hints at the connection between discrete- and continuous-state price processes.