研讨会：Supply Contracts with Time-Consistent Mean-Variance Financial Hedging
会议主题: Supply Contracts with Time-Consistent Mean-Variance Financial Hedging
演讲嘉宾：李强 博士 香港大学
主持人： 钟根元 副教授 上海交通大学安泰经济与管理学院应用经济系
时 间: 2017年9月27日 (周三) 13:30-15:00
地 点: 上海交通大学 徐汇校区新上院S204室
This paper considers a supply chain comprising one risk-neutral manufacturer (he) and one risk-averse retailer (she). The manufacturer procures consumption commodities as major input 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 a form of flexible supply contract that allows the manufacturer to determine the product wholesale price, and the retailer to determine the order quantity based on the future spot price of consumption commodities. Compared to the simple wholesale price contract, a win-win situation can be achieved under the flexible supply contract when the manufacturer’s postponed processing cost is lower than a threshold. However, under this flexible supply 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 as 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 supply contract are maintained.
Keywords: spot market, futures contracts, financial hedging, demand forecast update
Li Qiang obtained his PhD degree in Industrial and Manufacturing Systems Engineering from the University of Hong Kong and now works as a Postdoctoral Fellow at the University of Hong Kong. His major research interest is the interface of operations management and finance. He has published in European Journal of Operational Research, IEEE Systems Journal, and Journal of Intelligent Manufacturing.