We study how to manage commodity risks (price and volume) via procurement and financial hedging for a value-at-risk (VaR) risk-averse newsvendor. Facing stochastic procurement cost from the commodity market, the firm decides on its financial hedging strategy contingent on the procurement cost...

We consider the optimal integrated capacity and financial hedging strategies for a downside risk-averse global firm that faces multiple demand and foreign exchange rate risks. The firm maximizes the expected profit while controlling its profit-risk through a Value-at-Risk (VaR) constraint, which...

This paper explores the merits of hedging stochastic input costs (i.e., reducing the risk of adverse changes in costs) in a decentralized, risk neutral supply chain. Specifically, we consider a generalized version of the well-known ‘selling-to-the-newsvendor' model in which both the up-stream...