The Effects of Financial Risks on Inventory Policy
The Effects of Financial Risks on Inventory Policy
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DOI：
10.1287/mnsc.1050.0435
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发表时间：
2005-12
期刊：
影响因子：
--
通讯作者：
P. Berling;Kaj Rosling
中科院分区：
文献类型：
--
作者：
P. Berling;Kaj Rosling
在真实的期权框架下分析了金融风险对（R，Q）库存策略的影响。简单的调整通常的公式R和Q的建议和测试。随机需求和采购成本被认为是已知的系统（商业周期相关）风险。随机需求的系统风险对R和Q的最优值的影响通常可以忽略不计，尽管可以通过简单地调整R来实现改进。购买价格c的系统风险对R和Q有显著影响。资本持有成本应估计为r i h· c，其中r是无风险利率、预期价格下降和与系统风险c相关的风险溢价之和。对于在商品交易所报价的商品，r可以直接从远期合约的价格中估算。它的大小（和符号）因不同的商品而异。
The effect of financial risks on (R, Q) inventory policies is analyzed in a real options framework. Simple adjustments of the usual formulas for R and Q are suggested and tested. Stochastic demand and purchase costs are considered, both with known systematic (business-cycle-related) risk. The systematic risk of stochastic demand has typically a negligible effect on the optimal values of R and Q, although an improvement may be achieved by a simple adjustment of R. The systematic risk of the purchase price, c, has a significant effect on R and Q. The capital holding cost should be estimated as r i¾· c, where r is the sum of the risk-free interest rate, the expected price decrease, and the risk premium associated with the systematic risk of c. For goods quoted on commodity exchanges, r may be estimated directly from the prices on forward contracts. Its size (and sign) varies considerably for different commodities.