Optimal Operational versus Financial Hedging for a Risk-averse Firm
讲座名称：
Optimal Operational versus Financial Hedging for a Risk-averse Firm
讲座时间：
2011-02-28
讲座人：
朱万山
形式：
校区：
兴庆校区
实践学分：
讲座内容：
Optimal Operational versus Financial Hedging for a Risk-averse Firm
Abstract:
A Multinational Risk-averse Newsvendor (MRN) produces goods at home (domestically) and sells both overseas and at home, over multiple periods. The MRN faces risks due to uncertain exchange rate, as well as uncertain demand. Intuitively, exchange rate risk should be managed by a finance department as financial risk, while uncertain demand risk should be managed by an operations department as a part of operational risk. Traditionally this is the practice of many firms. In this paper, we consider both of these risks jointly and investigate the effectiveness of two specific alternatives that allow MRN to reduce the total risk.
The first alternative is general financial hedging contracts (including futures, forwards, swaps, and options). The second one is operational hedging, which is based on optimally allocating production capacity between domestic and overseas facilities. We characterize the optimal capacity allocation decisions, financial hedging decisions, and the underlying production and transshipment decisions in a generalized model. We compare the relative weaknesses and strengths of financial hedging and operational hedging.
报告题目：Optimal Operational versus Financial Hedging for
a Risk-averse Firm
时 间：2011年2月28日（周一）下午3：00
地 点：管313会议室
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