Optimal Operational versus Financial Hedging for a Risk-averse Firm

摘要：

We examine a Multinational Risk-averse Newsvendor (MRN) who produces and sells goods at home and overseas over multiple periods. The MRNs total utility is in uenced by uncertain exchange rate, as well as uncertain demand. Intuitively exchange rate risk should be managed by a finance department as financial risk, while uncertain demand risk should be managed by an operations department as part of operational risk. Traditionally this is the practice of many firms. In this paper, we consider both of these risks jointly and investigate how two specific alternatives allow MRN to reduce the total risk, where risk is captured through a concave utility function. The relative efficiency and interactions between these alternatives are studied.

作者: Wanshan Zhu Roman Kapuscinski

作者单位: Lee Kong Chian School of Business, Singapore Management University, 50 Stamford Road ＃04-01, Singapo Stephen M. Ross School of Business, University of Michigan, 701 Tappan Street, W5726 Ann Arbor, MI 4

会议类型: 国际会议

会议名称: 2007 International Conference on Manufacturing & Service Operations Management(2007制造与服务运作管理国际学术会议)

会议地点: 北京

会议语种:英文

在线出版日期: 2007-06-18（万方平台首次上网日期，不代表论文的发表时间）