Abstract
We propose an approach for controlling the weighted average price of a manufacturers sales on commodity exchanges. This problem is highly relevant due to the need for the manufacturer to hedge their profits in case of a sharp drop in market prices. We consider applications of the proposed control to executing trading operations on real commodity exchanges in order to demonstrate its efficiency.
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Russian Text © The Author(s), 2019, published in Avtomatika i Telemekhanika, 2019, No. 6, pp. 142–155.
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Vavilov, S.A., Kuznetsov, K.S. A Stochastic Control Model for the Average Price of Manufacturer Sales on Commodity Exchanges. Autom Remote Control 80, 1098–1108 (2019). https://doi.org/10.1134/S0005117919060080
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DOI: https://doi.org/10.1134/S0005117919060080