Production Planning with Risk Hedging Under a Conditional Value at Risk Objective

References

• Ahmed S, Cakmak U, Shapiro A (2007) Coherent risk measures in inventory problems. Eur. J. Oper. Res. 182(1):226–238.Crossref, Google Scholar
• Caldentey R, Haugh M (2006) Optimal control and hedging of operations in the presence of financial markets. Math. Oper. Res. 31(2):285–304.Link, Google Scholar
• Caldentey R, Haugh M (2009) Supply contracts with financial hedging. Oper. Res. 57(1):47–65.Link, Google Scholar
• Chen L, Long D, Perakis G (2015) The impact of a target on newsvendor decisions. Manufacturing Service Oper. Management 17(1):78–86.Google Scholar
• Chen X, Sim M, Simchi-Levi D, Sun P (2007) Risk aversion in inventory management. Oper. Res. 55(5):828–842.Link, Google Scholar
• Chen Y, Xu M, Zhang ZG (2009) A risk-averse newsvendor model under the CVaR criterion. Oper. Res. 57(4):1040–1044.Link, Google Scholar
• Choi S, Ruszczynski A (2008) A risk-averse newsvendor with law-invariant coherent measures of risk. Oper. Res. Lett. 36(1):77–82.Crossref, Google Scholar
• Föllmer H, Leukert P (1999) Quantile hedging. Finance Stochastics 3(3):251–273.Crossref, Google Scholar
• Föllmer H, Leukert P (2000) Efficient hedging: Cost vs. shortfall risk. Finance Stochastics 4:117–146.Crossref, Google Scholar
• Gao F, Chen FY, Chao X (2011) Joint optimal ordering and weather hedging decisions: Mean-CVaR model. Flexible Services Manufacturing J. 23:1–25.Crossref, Google Scholar
• Gaur V, Seshadri S (2005) Hedging inventory risk through market instruments. Manufacturing Service Oper. Management 7(2):103–120.Link, Google Scholar
• Gotoh J, Takano Y (2007) Newsvendor solutions via conditional value-at-risk minimization. Eur. J. Oper. Res. 179(1):80–96.Crossref, Google Scholar
• Guiotto P, Roncoroni A (2021) Combined custom hedging: Optimal design, noninsurable exposure, and operational risk management. Oper. Res. 70(1):38–54.Link, Google Scholar
• Hastie T, Tibshirani R, Friedman J (2009) The Elements of Statistical Learning: Data Mining, Inference, and Prediction (Springer, New York).Crossref, Google Scholar
• Karatzas I, Shreve SE (1998) Methods of Mathematical Finance (Springer, New York).Crossref, Google Scholar
• Kouvelis P, Li R, Ding Q (2013) Managing storable commodity risks: The role of inventory and financial hedge. Manufacturing Service Oper. Management 15(3):507–521.Link, Google Scholar
• Markowitz HM (1952) Portfolio selection. J. Finance 7(1):77–91.Google Scholar
• Pham H (2009) Continuous-Time Stochastic Control and Optimization with Financial Applications (Springer, Berlin).Crossref, Google Scholar
• Rockafellar TR, Uryasev S (2000) Optimization of conditional value-at-risk. J. Risk 2(3):21–41.Crossref, Google Scholar
• Rockafellar TR, Uryasev S (2002) Conditional value-at-risk for general loss distributions. J. Banking Finance 26(7):1443–1471.Crossref, Google Scholar
• Sherman E (2011) iPhones make far more margin—70%—than analysts and Apple watchers think. CBS News (January 22), https://www.cbsnews.com/news/iphones-make-far-more-margin-70-than-analysts-and-apple-watchers-think/.Google Scholar
• Tita B (2016) How Caterpillar’s big bet backfired: CEO Doug Oberhelman invested heavily in production of machinery and equipment then commodities began their slide. Wall Street Journal (October 17), https://www.wsj.com/articles/how-caterpillars-big-bet-backfired-1476639360.Google Scholar
• Tomlin B, Wang Y (2005) On the value of mix flexibility and dual sourcing in unreliable newsvendor networks. Manufacturing Service Oper. Management 7(1):37–57.Link, Google Scholar
• Wang L, Yao D (2017) Production with risk hedging—optimal policy and efficient frontier. Oper. Res. 65(4):1095–1113.Link, Google Scholar
• Wang L, Yao D (2019) Risk hedging for production planning. Production Oper. Management 30(6):1825–1837.Crossref, Google Scholar
• Xue W, Ma L, Shen H (2015) Optimal inventory and hedging decisions with CVaR consideration. Internat. J. Production Econom. 162:70–82.Crossref, Google Scholar