Optimal control and hedging of operations in the presence of financial markets

• 成果类型: Article
• 署名作者: Caldentey, Rene; Haugh, Martin
• 署名单位: New York University; Columbia University
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1050.0179
• 发表日期: 2006
• 页码: 285-304
• 关键词: Inventory models; newsboy problem; RISK; portfolio

摘要

We consider the problem of dynamically hedging the profits of a corporation when these profits are correlated with returns in the financial markets. In particular, we consider the general problem of simultaneously optimizing over both the operating policy and the hedging strategy of the corporation. We discuss how different informational assumptions give rise to different types of hedging and solution techniques. Finally, we solve some problems commonly encountered in operations management to demonstrate the methodology.