讲座题目：On the Time-Consistency of Inventory Control and Financial Hedging for Storable Commodity: A Dynamic Mean-Variance Analysis

主讲人：庞湛 副教授 (英国兰卡斯特大学, Lancaster University)

时间： 2015年6月23日（周二）15:00-17:00

地点： 文科楼1400会议室

主持人：马利军 副教授 管理科学系副主任

主讲人简介：

Dr. Zhan Pang is senior lecturer (associate professor) of Management Science at Lancaster University Management School, and adjunct associate professor at Norwegian School of Economics (NHH). He obtained BS and MS degrees in Mathematics from Nanjing University, and a PhD degree in Operations Research from Chinese University of Hong Kong. Prior to joining Lancaster University, he had been working at University of Calgary, University of Cambridge, and University of Toronto as research associate.  His publications have appeared in several leading operations journals, including Operations Research, Manufacturing and Service Operations Management, Production and Operations Management, IEEE Transactions on Automatic Control, etc. His current research interests include pricing and revenue management, big data and business analytics with applications in marketing, supply chain operations and risk management. As an ex entrepreneur and management consultant, he retains active interactions with industry. He has consulted in the online retailing, pharmaceutical, health service, energy and financial service industries, and is currently an independent director of a public energy technology company listed on the HKEx.

讲座内容简介： We consider a firm purchasing and processing a storable commodity from a spot market with volatile commodity prices. The firm has access to both a commodity spot market and an associated financial derivatives market. The purchased commodity serves as a raw material which is then processed into an end product with uncertain demand and lost sales. The objective of the firm is to coordinate the replenishment and financial hedging decisions to maximize the mean-variance utility of its terminal wealth over a finite horizon. Acknowledging that the mean-variance measure is time-inconsistent, we restrict our analysis to the class of time-consistent policies. We show that the inventory and financial hedging decisions can be separated as long as there exists forward. The optimal inventory policy can be characterized by a myopic state-dependent base-stock level and the optimal hedging policy can be obtained by minimizing the variance of the hedging portfolio, the value of excess inventory and the profit-to-go as a function of future price.

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　　　　　　　　　　　　　　　　　　　　　　　　　　　　　　　　2015年6月15日