Buy now and price later: Supply contracts with time-consistent mean-variance financial hedging
Buy now and price later: Supply contracts with time-consistent mean-variance financial hedging
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现在购买，稍后定价：具有时间一致均值方差金融对冲的供应合约
DOI：
10.1016/j.ejor.2018.02.004
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发表时间：
2018-07
影响因子：
6.4
通讯作者：
Wang Junwei
中科院分区：
文献类型：
--
作者：
Li Qiang;Niu Baozhuang;Chu Lap Keung;Ni Jian;Wang Junwei
我们考虑一个由一个风险中性制造商（he）和一个风险厌恶零售商（she）组成的两阶段供应链，其中制造商在现货市场采购消费品作为生产的主要投入，并将最终产品出售给零售商。零售商然后将最终产品以随机清仓价格出售给市场。我们研究了基于未来消费商品现货价格，允许制造商确定产品批发价格，零售商确定订单数量的柔性价格契约。与简单的批发价格合同相比，当制造商延迟加工成本低于某一阈值时，柔性价格合同可以实现双赢。然而，在这种灵活的价格合同下，零售商即使不直接采购商品，也可能受到商品价格波动的影响。我们进一步研究了风险厌恶型零售商如何通过购买消费商品期货合约进行均值方差金融对冲。我们用一个动态规划模型来表述这个问题，并推导出一个封闭形式的时间一致金融套期保值策略。通过数值实验表明，套期保值有效地降低了从制造商到零售商的商品价格风险，保持了柔性价格契约的收益。
We consider a two-stage supply chain comprising one risk-neutral manufacturer (he) and one risk-averse retailer (she), where the manufacturer procures consumption commodities in spot market as major inputs for production and sells the final products to the retailer. The retailer then sells the final products to the market at a stochastic clearance price. We investigate aflexible price contractthat allows the manufacturer to determine the product wholesale price, and the retailer to determine the order quantity, based on thefuture spot priceof consumption commodities. Compared with the simple wholesale price contract, awin–winsituation can be achieved under the flexible price contract when the manufacturer's postponed processing cost is lower than a threshold. However, under this flexible price contract the retailer may suffer from the commodity price volatility, even if she does not procure the commodities directly. We further investigate how the risk-averse retailer conducts mean–variance financial hedging by purchasing consumption commodity futures contracts. We formulate the problem using a dynamic programming model and derive a closed-form time-consistent financial hedging policy. Through numerical experiments, we show that the commodity price risk from the manufacturer to the retailer is effectively mitigated with the hedging, and the benefits of the flexible price contract are maintained.
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DOI：
10.1287/mnsc.1050.0435
发表时间：
2005-12
期刊：
Manag. Sci.
影响因子：
--
作者：
P. Berling;Kaj Rosling
通讯作者：
P. Berling;Kaj Rosling
制造材料采购的多阶段财务对冲方法
影响因子：
6.4
作者：
J.Ni;L. K. Chu;F. Wu;D. Sculli;Y. Shi
通讯作者：
Y. Shi
B2B 现货市场中的最佳订购和定价策略
影响因子：
6.4
作者：
Xing, Wei;Wang, Shouyang;Liu, Liming
通讯作者：
Liu, Liming
DOI：
--
发表时间：
2008
期刊：
--
影响因子：
--
作者：
O. Brown;A. Crawford;Jennifer L. Gibson
通讯作者：
O. Brown;A. Crawford;Jennifer L. Gibson
影响因子：
5.4
作者：
Schwartz, E;Smith, JE
通讯作者：
Smith, JE