Seminar: Financial Hedging of Various Inventory Operations by Fikri Karaesmen, Koç University, Department of Industrial Engineering
Friday, March 18, 13:40
Inventory operations involve risk due to uncertain demand and supply conditions, fluctuating prices and other factors. Inventory theory mostly deals with this risk in a risk-neutral framework by focusing on expected cost minimization. However, a joint investment in a financial portfolio of instruments can lead to reductions in other risk measures such as the variance of the profit. We propose formulations and approaches for effectively hedging inventory risks using financial instruments. The inventory models range from a newsvendor with demand and supply uncertainty, to multiple customer class revenue management and finally to dynamic multi-period problems involving both price and demand uncertainty.
Joint work with S. Özekici, K. Okyay, F. Sayın, G. Sarı and C. Canyakmaz
Bio: Fikri Karaesmen is a Professor of Industrial Engineering and the Dean of College of Engineering at Koç University. He has a B.S. degree from METU and a Ph.D. from Northeastern University. His research interests are in stochastic models of inventory and service systems. His papers have appeared in Operations Research, Management Science, Manufacturing and Service Operations Management, IIE Transactions and several other journals.