Abstract
This paper considers a problem of multi-period supply portfolio selection and execution with demand information updates. A supply portfolio specifies a buyer’s decision on selecting sourcing mix from among a group of suppliers. We develop a framework for optimal supply portfolio selection and execution. Further, we demonstrate that the optimal portfolio selection follows a base-stock policy and the option execution follows a modified base-stock policy. We also develop the structural properties of the optimal policy with respect to option contracts and inventories.
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Wang, H., Yan, H. (2006). Supply Portfolio Selection and Execution with Demand Information Updates. In: Yan, H., Yin, G., Zhang, Q. (eds) Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems. International Series in Operations Research & Management Science, vol 94. Springer, Boston, MA . https://doi.org/10.1007/0-387-33815-2_13
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DOI: https://doi.org/10.1007/0-387-33815-2_13
Publisher Name: Springer, Boston, MA
Print ISBN: 978-0-387-33770-8
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