Buy now and price later: Supply contracts with time-consistent mean-variance financial hedging.

European Journal of Operational Research(2018)

引用 18|浏览11
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摘要
•Flexible price contract linked to the future spot price of commodity is formulated.•Manufacturer and retailer can be win–win under flexible price contract.•Flexible price contract with financial hedging is formulated to mitigate the risk-averse retailer's exposure to commodity price risk.•Closed-form time-consistent financial hedging policy is derived.
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关键词
Risk management,Pricing,Mean–variance,Demand forecast update,Contracts
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