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Article: Risk Hedging for Production Planning
Title | Risk Hedging for Production Planning |
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Authors | |
Keywords | production risk management data analytics hedging strategy |
Issue Date | 2021 |
Publisher | Wiley-Blackwell Publishing, Inc.. The Journal's web site is located at http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1937-5956 |
Citation | Production and Operations Management, 2021, v. 30 n. 6, p. 1825-1837 How to Cite? |
Abstract | Traditional production planning is primarily a quantity or capacity decision, which must be made at the beginning of a planning horizon before production starts. Adding to this decision a real‐time control, a risk‐hedging strategy carried out throughout the horizon can better mitigate the risk involved in demand volatility. We demonstrate how this can be done in terms of jointly optimizing the capacity and the hedging decisions, addressing both the mean‐variance and the shortfall objectives. Solution techniques, results, and insights are highlighted. In particular, we illustrate that our approach readily accommodates data analytics and explicitly quantifies the improvement to the efficient frontier contributed by hedging. |
Persistent Identifier | http://hdl.handle.net/10722/281204 |
ISSN | 2021 Impact Factor: 4.638 2020 SCImago Journal Rankings: 3.279 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Wang, L | - |
dc.contributor.author | Yao, DD | - |
dc.date.accessioned | 2020-03-09T09:51:31Z | - |
dc.date.available | 2020-03-09T09:51:31Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Production and Operations Management, 2021, v. 30 n. 6, p. 1825-1837 | - |
dc.identifier.issn | 1059-1478 | - |
dc.identifier.uri | http://hdl.handle.net/10722/281204 | - |
dc.description.abstract | Traditional production planning is primarily a quantity or capacity decision, which must be made at the beginning of a planning horizon before production starts. Adding to this decision a real‐time control, a risk‐hedging strategy carried out throughout the horizon can better mitigate the risk involved in demand volatility. We demonstrate how this can be done in terms of jointly optimizing the capacity and the hedging decisions, addressing both the mean‐variance and the shortfall objectives. Solution techniques, results, and insights are highlighted. In particular, we illustrate that our approach readily accommodates data analytics and explicitly quantifies the improvement to the efficient frontier contributed by hedging. | - |
dc.language | eng | - |
dc.publisher | Wiley-Blackwell Publishing, Inc.. The Journal's web site is located at http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1937-5956 | - |
dc.relation.ispartof | Production and Operations Management | - |
dc.rights | This is the peer reviewed version of the following article: Production and Operations Management, 2021, v. 30 n. 6, p. 1825-1837 which has been published in final form at https://doi.org/10.1111/poms.13103. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. | - |
dc.subject | production risk management | - |
dc.subject | data analytics | - |
dc.subject | hedging strategy | - |
dc.title | Risk Hedging for Production Planning | - |
dc.type | Article | - |
dc.identifier.email | Wang, L: lwang98@hku.hk | - |
dc.identifier.authority | Wang, L=rp02321 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1111/poms.13103 | - |
dc.identifier.scopus | eid_2-s2.0-85074065398 | - |
dc.identifier.hkuros | 309344 | - |
dc.identifier.volume | 30 | - |
dc.identifier.issue | 6 | - |
dc.identifier.spage | 1825 | - |
dc.identifier.epage | 1837 | - |
dc.identifier.isi | WOS:000490415300001 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 1059-1478 | - |