caa a22 4500 44583966X CHVBK 20180317145340.0 cr unu---uuuuu 170323e20110201xx s 000 0 eng 10.1007/s00186-010-0336-z doi (NATIONALLICENCE)springer-10.1007/s00186-010-0336-z Optimal spot market inventory strategies in the presence of cost and price risk [Elektronische Daten] [X. Guo, P. Kaminsky, P. Tomecek, M. Yuen] We consider a firm facing random demand at the end of a single period of random length. At any time during the period, the firm can either increase or decrease inventory by buying or selling on a spot market where price fluctuates randomly over time. The firm's goal is to maximize expected discounted profit over the period, where profit consists of the revenue from selling goods to meet demand, on the spot market, or in salvage, minus the cost of buying goods, and transaction, penalty, and holding costs. We first show that this optimization problem is equivalent to a two-dimensional singular control problem. We then use a recently developed control-theoretic approach to show that the optimal policy is completely characterized by a simple price-dependent two-threshold policy. In a series of computational experiments, we explore the value of actively managing inventory during the period rather than making a purchase decision at the start of the period, and then passively waiting for demand. In these experiments, we observe that as price volatility increases, the value of actively managing inventory increases until some limit is reached. The Author(s), 2010 Inventory nationallicence Continuous time nationallicence Spot market nationallicence Singular control nationallicence Pricing nationallicence Guo X. Department of Industrial Engineering and Operations Research, University of California, 94720-1777, Berkeley, CA, USA aut Kaminsky P. Department of Industrial Engineering and Operations Research, University of California, 94720-1777, Berkeley, CA, USA aut Tomecek P. J.P. Morgan, New York, NY, USA aut Yuen M. Department of Industrial Engineering and Operations Research, University of California, 94720-1777, Berkeley, CA, USA aut Mathematical Methods of Operations Research Springer-Verlag 73/1(2011-02-01), 109-137 1432-2994 73:1<109 2011 73 186 https://doi.org/10.1007/s00186-010-0336-z text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00186-010-0336-z text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Guo X. Department of Industrial Engineering and Operations Research, University of California, 94720-1777, Berkeley, CA, USA aut NATIONALLICENCE 700 1- Kaminsky P. Department of Industrial Engineering and Operations Research, University of California, 94720-1777, Berkeley, CA, USA aut NATIONALLICENCE 700 1- Tomecek P. J.P. Morgan, New York, NY, USA aut NATIONALLICENCE 700 1- Yuen M. Department of Industrial Engineering and Operations Research, University of California, 94720-1777, Berkeley, CA, USA aut NATIONALLICENCE 773 0- Mathematical Methods of Operations Research Springer-Verlag 73/1(2011-02-01), 109-137 1432-2994 73:1<109 2011 73 186 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer