Managing Storable Commodity Risks: Role of Inventories and Financial Hedges

• Main Authors: Kouvelis, Panos, LI, Rong, DING, Qing
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: stochastic inventory; commodity markets; futures; options; risk management; hedging; risk aversion; Operations and Supply Chain Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3286; https://doi.org/10.1287/msom.2013.0433
• Institution: Singapore Management University

This paper studies the integrated operational and financial risk management of storable commodities, such as aluminum and steel, used as inputs in end-products with uncertain demand. In our dynamic mean-variance model, we study a problem of dual sourcing with financial hedging for a risk averse buye...