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dc.contributor.authorWu, Qiao
dc.contributor.authorChen, Andy
dc.date.accessioned2016-02-19T12:51:51Z
dc.date.available2016-02-19T12:51:51Z
dc.date.issued2015-10
dc.identifier.citationWu, Qiao; Chen, Andy. Optimal combined purchasing strategies for a risk-averse manufacturer under price uncertainty. "Journal of Industrial Engineering and Management", Octubre 2015, vol. 8, núm. 4, p. 1087-1102.
dc.identifier.issn2013-0953
dc.identifier.urihttp://hdl.handle.net/2117/83174
dc.description.abstractPurpose: The purpose of our paper is to analyze optimal purchasing strategies when a manufacturer can buy raw materials from a long-term contract supplier and a spot market under spot price uncertainty. Design/methodology/approach: This procurement model can be solved by using dynamic programming. First, we maximize the DM’s utility of the second period, obtaining the optimal contract quantity and spot quantity for the second period. Then, maximize the DM’s utility of both periods, obtaining the optimal purchasing strategy for the first period. We use a numerical method to compare the performance level of a pure spot sourcing strategy with that of a mixed strategy. Findings: Our results show that optimal purchasing strategies vary with the trend of contract prices. If the contract price falls, the total quantity purchased in period 1 will decrease in the degree of risk aversion. If the contract price increases, the total quantity purchased in period 1 will increase in the degree of risk aversion. The relationship between the optimal contract quantity and the degree of risk aversion depends on whether the expected spot price or the contract price is larger in period 2. Finally, we compare the performance levels between a combined strategy and a spot sourcing strategy. It shows that a combined strategy is optimal for a risk-averse buyer. Originality/value: It’s challenging to deal with a two-period procurement problem with risk consideration. We have obtained results of a two-period procurement problem with two sourcing options, namely contract procurement and spot purchases. Our model incorporates the buyer’s risk aversion factor and the change of contract prices, which are not addressed in early studies.
dc.format.extent16 p.
dc.language.isoeng
dc.publisherOmniaScience
dc.rightsAttribution-NonCommercial 3.0 Spain
dc.rights.urihttp://creativecommons.org/licenses/by-nc/3.0/es/
dc.subjectÀrees temàtiques de la UPC::Economia i organització d'empreses::Microeconomia::Econometria
dc.subject.lcshFinancial risk management -- Mathematical models
dc.subject.otherPrice risk
dc.subject.otherRisk aversion
dc.subject.otherSpot market
dc.subject.otherCombined strategy
dc.titleOptimal combined purchasing strategies for a risk-averse manufacturer under price uncertainty
dc.typeArticle
dc.subject.lemacGestió del risc -- Models matemàtics
dc.identifier.dlB-28744-2008
dc.description.peerreviewedPeer Reviewed
dc.rights.accessOpen Access
local.citation.publicationNameJournal of Industrial Engineering and Management
local.citation.volume8
local.citation.number4
local.citation.startingPage1087
local.citation.endingPage1102


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Attribution-NonCommercial 3.0 Spain
Except where otherwise noted, content on this work is licensed under a Creative Commons license : Attribution-NonCommercial 3.0 Spain