Optimal Inventory Policies when Purchase Price and Demand Are Stochastic
Published Online:8 Feb 2011https://doi.org/10.1287/opre.1100.0862
References
- Simple solution procedures for a class of two-echelon inventory problems. Oper. Res. (1990) 38(1):64–69Link, Google Scholar
- The capital cost of holding inventory with stochastically mean-reverting purchase price. Eur. J. Oper. Res. (2008) 186(2):620–636Crossref, Google Scholar
- The effects of financial risks on inventory policy. Management Sci. (2005) 51(12):1804–1815Link, Google Scholar
- Dynamic Programming and Optimal Control (2000) (Athena Scientific, Belmont, MA) Google Scholar
- Mean-reversion in equilibrium asset prices: Evidence from the futures term structure. J. Finance (1995) 50(1):361–375Crossref, Google Scholar
- Gas storage valuation using a Monte Carlo method. J. Derivatives (2008) 15(3):81–98Crossref, Google Scholar
- The supply of storage. Amer. Econom. Rev. (1958) 48(1):50–72Google Scholar
- Optimal control and hedging of operations in the presence of financial markets. Math. Oper. Res. (2006) 31(2):285–304Link, Google Scholar
- Valuation of energy storage: An optimal switching approach. Quant. Finance (2009) 10(4):359–374Crossref, Google Scholar
- Stochastic convenience yield implied from commodity futures and interest rates. J. Finance (2005) 60(5):2283–2331Crossref, Google Scholar
- A theory of commodity price fluctuations. Rev. Econom. Stud. (1996) 104(5):429–441Google Scholar
- Risk aversion in inventory management. Oper. Res. (2007) 55(5):828–842Link, Google Scholar
- Option pricing: A simplified approach. J. Financial Econom. (1979) 7(3):229–263Crossref, Google Scholar
- On the behaviour of commodity prices. Rev. Econom. Stud. (1992) 59(1):1–23Crossref, Google Scholar
- Competitive storage and commodity price dynamics. J. Political Econom. (1996) 104(5):896–923Crossref, Google Scholar
- Computing the optimal replenishment policy for inventory systems with random discount opportunities. Oper. Res. (2001) 49(5):790–795Link, Google Scholar
- Short-term hydropower production planning by stochastic programming. Comput. Oper. Res. (2008) 35(8):2656–2671Crossref, Google Scholar
- Stock control with random opportunities for replenishment. Oper. Res. Quart. (1960) 11:130–136Crossref, Google Scholar
- Optimal dynamic pricing of inventories with stochastic demand over finite horizons. Management Sci. (1994) 40(8):999–1020Link, Google Scholar
- Stochastic convenience yield and the pricing of oil contingent claims. J. Finance (1990) 45(3):959–976Crossref, Google Scholar
- Integrating commodity markets in the optimal procurement policies of a stochastic inventory system. (2006) . Working paper, Department of Information, Risk and Operations Management, University of Texas at AustinGoogle Scholar
- Optimal inventory policies when ordering prices are random. Oper. Res. (1985) 33(3):575–588Link, Google Scholar
- Supply chain operations in the presence of a spot market: A review with discussion. J. Oper. Res. Soc. (2007) 58(11):1412–1429Crossref, Google Scholar
- Options, Futures and Other Derivatives (2003) (Prentice Hall, Upper Saddle River, NJ) Google Scholar
- Speculation and economic stability. Rev. Econom. Stud. (1939) 7(1):1–27Crossref, Google Scholar
- Stochastic prices in a single-item inventory purchasing model. Oper. Res. (1971) 19(6):1434–1458Link, Google Scholar
- Investment Science (1997) (Oxford University Press, Oxford, UK) Google Scholar
- Myopic inventory policies using individual customer arrival information. Manufacturing Service Oper. Management (2010) 12(4):663–672Link, Google Scholar
- Replenishment and stocking policies for inventory systems with random deal offerings. Management Sci. (1997) 43(3):334–342Link, Google Scholar
- A single-unit decomposition approach to multiechelon inventory systems. Oper. Res. (2008) 56(5):1089–1103Link, Google Scholar
- Hydropower with financial information. Appl. Math. Finance (2008) 15:1–27Crossref, Google Scholar
- The stochastic behaviour of commodity prices: Implications for valuation and hedging. J. Finance (1997) 52(3):923–973Crossref, Google Scholar
- Short-term variations and long-term dynamics in commodity prices. Management Sci. (2000) 46(7):893–911Link, Google Scholar
- Optimal commodity trading with a capacitated storage asset. Management Sci. (2010) 56(3):449–467Link, Google Scholar
- Futures trading and the storage of cotton and wheat. J. Political Econom. (1958) 66(3):233–255Crossref, Google Scholar
- The optimality of myopic stocking policies for systems with decreasing purchasing prices. Eur. J. Oper. Res. (2001) 133(1):153–159Crossref, Google Scholar
- Storage and Commodity Markets (1991) (Cambridge University Press, Cambridge, UK) Crossref, Google Scholar
- Optimal control policy for stochastic inventory system with Markovian discount opportunities. Oper. Res. (1994) 42(4):721–738Link, Google Scholar

