Risk hedging in a two-level supply chain under uncertainty

摘要：

Hedging risk under uncertainty has become an area of interest for many companies utilizing a globalization strategy for their operations. In this paper, a risk hedging valuation framework for a global supply chain network under demand and exchange rate is presented aiming to maximize discounted, expected, after-tax profits. A product life cycle lattice has been developed to account for the stochastic nature of the product life cycle of the product demand. Similarly, an exchange rate lattice is used to model all the different exchange rate scenarios involved in the future. With the outcomes of these two models, different capacity levels of the plants are incorporated in the supply chain network model, which has been developed to determine the plant locations, market locations, and the optimal production quantity. Subsequently, the expected, discounted, after-tax profit is maximized by using a recursive dynamic programming algorithm which also includes capacity adjustment costs.

关键词： demand uncertainty exchange uncertainty supply chain

作者: M. I. M. Wahab R. Huang D. Wu

作者单位: Department of Mechanical ad Industrial Engineering, Ryerson University, Toronto, ON M5B 2K3,Canada School of Administrative Studies, York University, Toronto, ON M3J 1P3, Canada Lst all distinct addresses in the same way

会议类型: 国际会议

会议名称: The 1st International Conference on Sustainable Construction & Risk Management(首届可持续建设与风险管理国际会议)

会议地点: 重庆

会议语种:英文

页码: 1492-1496

在线出版日期: 2010-06-12（万方平台首次上网日期，不代表论文的发表时间）