دانلود رایگان مقاله همکاری سیاست های عملیاتی با ممانعت مالی برای ریسک گریزی شرکت ها

Abstract

A risk-averse firm’s financial hedging activity can impact the decision making in its daily operations. We introduce a CE-based approach that can help the firm to simplify the procedure in making hedging-consistent decisions. A key feature of this new approach is that it allows for the existence of nonfinancial random factors, which give rise to the risk exposure that cannot be hedged in the financial market. By using a CE operator, we show that the optimal operational policy can be obtained by maximizing the CE-based value function. Although the CE operator may bring additional nonlinearity to the value function, we find that the commonly desired base-stock policy can remain optimal under specific conditions. We hope that this new approach can help pave the way for future investigation on joint operations management and financial hedging problems in dynamic settings.

5. Concluding Remarks

We have developed a CE-based approach for a risk-averse firm to make hedging-consistent operational decisions in a simplified way. This new approach overcomes some of the shortcomings embedded in the existing EV-based approach while retaining its major advantage. In particular, the complete market assumption that underpins the EV-based approach is relaxed by allowing for the existence of nonfinancial random factors, which enables the CE-based approach to be applied in a much broader risky environment. Although the CE operator may introduce additional nonlinearity into the Bellman equation, the commonly desired base-stocktype policy can remain optimal under certain conditions. Besides, the CE-based value function can also help identify the equivalent financial risk exposure that should be hedged in the financial market. Therefore, this paper is a contribution to the growing literature on the interface of operations management and finance.