He, Huifen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 44-48). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Motivation --- p.1 / Chapter 1.2 --- Literature Review --- p.4 / Chapter 1.2.1 --- Supply Contracts under Price Uncertainty --- p.5 / Chapter 1.2.2 --- Dual Sourcing --- p.6 / Chapter 1.2.3 --- Risk Aversion in Inventory Management --- p.6 / Chapter 1.2.4 --- Hedging Operational Risk Using Financial Instruments --- p.7 / Chapter 1.2.5 --- Financial Literature --- p.9 / Chapter 1.3 --- Organization of the Thesis --- p.10 / Chapter 2 --- A Risk-Neutral Model --- p.12 / Chapter 2.1 --- Framework and Assumptions --- p.12 / Chapter 2.2 --- "Price, Forward and Convenience Yield" --- p.14 / Chapter 2.2.1 --- Stochastic Model of Price --- p.14 / Chapter 2.2.2 --- Marginal Convenience Yield --- p.16 / Chapter 2.3 --- Optimality Equations --- p.17 / Chapter 2.4 --- The Structure of the Optimal Policy --- p.21 / Chapter 2.4.1 --- One-period. Optimal Hedge Decision Rule --- p.21 / Chapter 2.4.2 --- One-period Optimal Orderings Decision Rule --- p.23 / Chapter 2.4.3 --- Optimal Policy --- p.24 / Chapter 3 --- A Risk-Averse Model --- p.28 / Chapter 3.1 --- Risk Aversion Modeling and Utility Function --- p.28 / Chapter 3.2 --- Multi-Period Inventory Modelling --- p.31 / Chapter 3.3 --- Exponential Utility Model --- p.33 / Chapter 3.4 --- Optimal Ordering and Hedging Policy for Multi-Period Problem --- p.37 / Chapter 4 --- Conclusion and Future Research --- p.40 / Bibliography --- p.44 / Chapter A --- Appendix --- p.49 / Chapter A.l --- Notation --- p.49 / Chapter A.2 --- K-Concavity --- p.50
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326272 |
| Date | January 2008 |
| Contributors | He, Huifen., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vi, 55 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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