Spot piyasası bulunan emtiaların satın alma yöntemleri

We investigated the single period procurement policy of a commodity which is traded in a spot market. The presence of a spot market di erentiates the problem de nition from the classical single period inventory models, and requires di erent solution strategies. We have proposed two data-driven linear programs to nd the optimal procurement strategies for two different objectives: (i) expected pro t maximization (risk-neutral), (ii) minimization of CVaR (risk-averse). Our proposed solution approaches use historical demand and price data as well as the historical data of exogenous variables which are assumed to be correlated with demand and/or price. We have conducted a simulation to ensure the validity of the models. According to the simulation results, the risk-neutral case is able to yield near-optimal solutions for all price processes and all price-demand dependence cases. The risk-averse model is able to outperform the risk-neutral one in terms of CVaR risk measure for certain cases of price processes and price-demand dependence cases. The presence of the exogenous variables improved the performance of both programs.