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MOR
2006

Optimal Control and Hedging of Operations in the Presence of Financial Markets

13 years 11 months ago
Optimal Control and Hedging of Operations in the Presence of Financial Markets
We consider the problem of dynamically hedging the profits of a corporation when these profits are correlated with returns in the financial markets. In particular, we consider the general problem of simultaneously optimizing over both the operating policy and the hedging strategy of the corporation. We discuss how different informational assumptions give rise to different types of hedging and solution techniques. Finally, we solve some problems commonly encountered in operations management to demonstrate the methodology.
René Caldentey, Martin B. Haugh
Added 14 Dec 2010
Updated 14 Dec 2010
Type Journal
Year 2006
Where MOR
Authors René Caldentey, Martin B. Haugh
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