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Separation results for multi-product inventory hedging problems

Author

Listed:
  • Yuemeng Sun

    (Cornell University)

  • Johannes Wissel

    (Cornell University)

  • Peter L. Jackson

    (Cornell University)

Abstract

We analyze financial hedging tools for inventory management in a risk-averse corporation. We consider the problem of optimizing simultaneously over both the operational policy and the hedging policy of the corporation in a multi-product model. Our main contribution is a separation result such that for a corporation with multiple products and inventory departments, the inventory decisions of each department can be made independently of the other departments’ decisions. That is, no interaction needs to be considered among different products.

Suggested Citation

  • Yuemeng Sun & Johannes Wissel & Peter L. Jackson, 2016. "Separation results for multi-product inventory hedging problems," Annals of Operations Research, Springer, vol. 237(1), pages 143-159, February.
    • Handle: RePEc:spr:annopr:v:237:y:2016:i:1:d:10.1007_s10479-013-1473-6
    DOI: 10.1007/s10479-013-1473-6
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    References listed on IDEAS

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    5. Blome, Constantin & Schoenherr, Tobias, 2011. "Supply chain risk management in financial crises--A multiple case-study approach," International Journal of Production Economics, Elsevier, vol. 134(1), pages 43-57, November.
    6. Wu, Desheng Dash & Olson, David L. & Birge, John R., 2011. "Introduction to special issue on "Enterprise risk management in operations"," International Journal of Production Economics, Elsevier, vol. 134(1), pages 1-2, November.
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    Cited by:

    1. Liu, Zugang & Wang, Jia, 2019. "Supply chain network equilibrium with strategic financial hedging using futures," European Journal of Operational Research, Elsevier, vol. 272(3), pages 962-978.

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