Optimal Control and Hedging of Operations in the Presence of Financial Markets

作者：René A. Caldentey, Martin B. Haugh · 发表于：Mathematics of Operations Research · 年份：2006 · DOI：10.1287/moor.1050.0179 · 被引用次数：121 · 研究领域：Supply Chain and Inventory Management、Capital Investment and Risk Analysis、Risk and Portfolio Optimization

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.