کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
481392 | 1446073 | 2012 | 8 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: A multi-stage financial hedging approach for the procurement of manufacturing materials A multi-stage financial hedging approach for the procurement of manufacturing materials](/preview/png/481392.png)
This paper addresses the problem of mitigating procurement risk that arises from volatile commodity prices by proposing a hedging strategy within a multi-stage time frame. The proposed multi-stage hedging strategy requires a commodity futures position to be correctly initialised and rebalanced with adequate volumes of short/long positions, so as to reduce the volatility in the total procurement cost that would otherwise be generated by varying commodity spot prices. The novelty in the approach is the introduction of the rebalancing of commodity futures position at defined intermediate stages. To obtain an efficient or near optimal multi-stage hedging strategy, a discrete-time stochastic control model (DSCM) is developed. Numerical experiments and Monte Carlo simulation are used to show that the proposed multi-stage hedging strategy compares favourably with the minimal-variance hedge and the one-stage hedge. A close-form optimal solution is also presented for the case when procurement volume and price are independent.
► We develop a hedging strategy to deal with uncertain demand and price fluctuation.
► We use tradable commodities as the tool for hedging.
► The risk hedging model is based on discrete-time control theory.
► Futures positions are adjusted in response to price and demand movements.
► The approach outperforms hedging models without rebalancing of futures positions.
Journal: European Journal of Operational Research - Volume 221, Issue 2, 1 September 2012, Pages 424–431