Managing Storable Commodity Risks: Role of Inventories and Financial Hedges

• Main Authors: Kouvelis, Panos, LI, Rong, DING, Qing
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2013
• 主題: stochastic inventory; commodity markets; futures; options; risk management; hedging; risk aversion; Operations and Supply Chain Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/3286; https://doi.org/10.1287/msom.2013.0433
• 機構: 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...