Caner Canyakmaz

Book chapters

Book Chapter

Minimum-variance hedging for managing risks in inventory models with price fluctuations

In Integrated risk management in supply chains, 11 vols. 107-123. : .
Caner Canyakmaz, Süleyman Özekici, Fikri Karaesmen (2017)
Abstract:
Keyword(s): Minimum-variance hedging, inventory, price risk, demand risk

We consider the financial hedging of a random operational cash flow that arises in inventory operations with price and demand uncertainty. We use a variance minimization approach to find a financial portfolio that would minimize the total variance of operational and financial returns. For inventory models that involve continuous price fluctuations and price-dependent demand that arrives in continuous time, we characterize the minimum-variance hedging policies and numerically illustrate their effectiveness.

Book Integrated risk management in supply chains
Pages 107-123

Book Chapter

Minimum variance hedging for managing price risks

In 11th Conference on Stochastic Models of Manufacturing and Service Operations, 155–160. : Institute of Industrial Technologies and Automation (ITIA) of the National Research Council of Italy.
Caner Canyakmaz, Fikri Karaesmen, Süleyman Özekici (2017)
Abstract:
Subject(s): Management sciences, decision sciences and quantitative methods
Keyword(s): Minimum-variance hedging, continuous price fluctuations
Book 11th Conference on Stochastic Models of Manufacturing and Service Operations
Pages 155–160
ISBN 978-889-4128-62-8 (Print)