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Article: A real option approach to optimal inventory management of retail products

TitleA real option approach to optimal inventory management of retail products
Authors
KeywordsActuarial valuation
Inventory level
Pricing
Real option
Retail product
Stochastic demand
Supply chain management
Issue Date2012
PublisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at http://aimsciences.org/journals/jimo/description.htm
Citation
Journal Of Industrial And Management Optimization, 2012, v. 8 n. 2, p. 379-389 How to Cite?
AbstractThis paper introduces a novel approach to discuss an optimal inventory level of a retail product using a real option framework. We consider stochastic models for the evolution of the demand and unit price of the prod- uct over time. The profit structure of the retailer is represented by the payoff of the real option. An actuarial approach is then used to price the option. The retailer determines an optimal inventory level of the product with a view to maximizing the net expected profit. Numerical examples will be given to illustrate the practical implementation of the proposed approach and to investigate the impacts of changes in parameters on the optimal inventory level of the product.
Persistent Identifierhttp://hdl.handle.net/10722/146398
ISSN
2015 Impact Factor: 0.776
2015 SCImago Journal Rankings: 0.639
ISI Accession Number ID
Funding AgencyGrant Number
RGC7017/07P
HKU CRCG
HKU
Funding Information:

Ching's research is supported in part by the RGC Grant 7017/07P, HKU CRCG Grants and HKU Strategic Research Theme Fund on Computational Sciences. The authors would like to thank the three referees for their help comments and suggestions.

References

 

DC FieldValueLanguage
dc.contributor.authorHuang, Xen_HK
dc.contributor.authorSong, Nen_HK
dc.contributor.authorChing, WKen_HK
dc.contributor.authorSiu, TKen_HK
dc.contributor.authorYiu, KFCen_HK
dc.date.accessioned2012-04-24T07:51:27Z-
dc.date.available2012-04-24T07:51:27Z-
dc.date.issued2012en_HK
dc.identifier.citationJournal Of Industrial And Management Optimization, 2012, v. 8 n. 2, p. 379-389en_HK
dc.identifier.issn1547-5816en_HK
dc.identifier.urihttp://hdl.handle.net/10722/146398-
dc.description.abstractThis paper introduces a novel approach to discuss an optimal inventory level of a retail product using a real option framework. We consider stochastic models for the evolution of the demand and unit price of the prod- uct over time. The profit structure of the retailer is represented by the payoff of the real option. An actuarial approach is then used to price the option. The retailer determines an optimal inventory level of the product with a view to maximizing the net expected profit. Numerical examples will be given to illustrate the practical implementation of the proposed approach and to investigate the impacts of changes in parameters on the optimal inventory level of the product.en_HK
dc.languageengen_US
dc.publisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at http://aimsciences.org/journals/jimo/description.htmen_HK
dc.relation.ispartofJournal of Industrial and Management Optimizationen_HK
dc.rightsJournal of Industrial and Management Optimization. Copyright © American Institute of Mathematical Sciences.en_US
dc.subjectActuarial valuationen_HK
dc.subjectInventory levelen_HK
dc.subjectPricingen_HK
dc.subjectReal optionen_HK
dc.subjectRetail producten_HK
dc.subjectStochastic demanden_HK
dc.subjectSupply chain managementen_HK
dc.titleA real option approach to optimal inventory management of retail productsen_HK
dc.typeArticleen_HK
dc.identifier.emailChing, WK:wching@hku.hken_HK
dc.identifier.emailYiu, KFC:cedric@hkucc.hku.hken_HK
dc.identifier.authorityChing, WK=rp00679en_HK
dc.identifier.authorityYiu, KFC=rp00206en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.3934/jimo.2012.8.379en_HK
dc.identifier.scopuseid_2-s2.0-84861775779en_HK
dc.identifier.hkuros199378en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84861775779&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume8en_HK
dc.identifier.issue2en_HK
dc.identifier.spage379en_HK
dc.identifier.epage389en_HK
dc.identifier.isiWOS:000304007400007-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridHuang, X=36617352800en_HK
dc.identifier.scopusauthoridSong, N=36466983800en_HK
dc.identifier.scopusauthoridChing, WK=13310265500en_HK
dc.identifier.scopusauthoridSiu, TK=8655758200en_HK
dc.identifier.scopusauthoridYiu, KFC=24802813000en_HK

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