Rastsal arzlı newsvendor modellerinde finansal ürünler kullanılarak risk yönetimi

In this thesis we study a single-period, single-item inventory (newsvendor) problem. We analyze the opportunities of fi…nancial hedging to mitigate inventory risks when the demand and/or supply processes are correlated with the price of a …financial asset. The risk or uncertainty in a classical newsvendor model is often generated by random demand. This randomness forces decision makers to determine their managing policies while facing risk. If the demand exceeds or falls short of expectations, the decision maker will face a shortage or a loss. However, apart from the uncertainty of demand we also incorporate supplyuncertainty as a source of randomness. Supply uncertainty implies that the quantity received is not equal to the quantity ordered due to problems encountered during production or transportation. The combined randomness of demand and supply enhances the level of uncertainty, thus leading to an increased risk for the manager. Apart from the uncertainty levels, the majority of the literature on common inventory models are based upon two important assumptions. Primarily, a risk-neutral setting for the decision maker. Secondarily, independence of the demand and supply from any kind of …nancial instrument. So, thedecision problem is often formulated as the minimization or maximization of the expected cost or pro…t. Then, the optimal inventory management policy is determined by solving the resulting optimization problem. Besides supply and demand there are other forms of risk as well such as interest rate, currency risk, catastrophe, etc.. Hence, we provide a general framework of decision making in a risky environment by categorizing our model under three different approaches. In the …rst one, we analyze the conventional newsvendor model with shortage cost. This model is extended by adding different types of supply uncertainty, while the assumption of independence between demand and market still holds. In the second one, we use fi…nancial instruments like options, bonds, futures, etc. to hedge the risks associated with the revenue or the cash ‡ow by assuming perfect correlation between demand/supply and the market. The manager or the decision maker now has to determine the optimal portfolio of these hedging instruments as well as the optimal ordering quantity. For the last approach, we characterize a setting for hedging the risk when there is partial correlation between demand/supply and the market. In such a scenario, forming a replicating portfolio will not be possible since there is no perfect correlation. So instead, a minimum variance type approach is used.