Name
Abstract | ||
|---|---|---|
We study production planning integrated with risk hedging. In addition to using a one-time production quantity decision, made at the beginning of a planning horizon, as a way to manage demand uncertainty, we illustrate how to construct and execute a hedging strategy throughout the horizon, as a better and more effective approach to mitigating the risks involved. Furthermore, whereas traditional production planning models focus on the expected net-profit as an objective function, we study two risk measures, variance and shortfall. In both cases, we characterize the efficient frontier, and demonstrate the improved risk-return profile over a production-only decision. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.1561/0200000072 | Foundations and Trends in Technology, Information and Operations Management |
Keywords | Field | DocType |
Technology, Information and OM | Economics,Time horizon,Integrated production,Operational risk management,Operations research,Efficient frontier,Production planning,Hedge (finance),Contingency plan,Operations management | Journal |
Volume | Issue | ISSN |
11 | 1-2 | 1571-9545 |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Liao Wang | 1 | 0 | 0.34 |
| David D. Yao | 2 | 861 | 140.51 |