Risk averse supply portfolio selection with supply, demand and spot market volatility

Merzifonluoğlu, Yasemin

doi:10.1016/j.omega.2015.03.006

Cited by 68 publications

(34 citation statements)

References 35 publications

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“…They show that combined sourcing is advantageous in case of a large spot-market price variability. Merzifonluoglu (2015) considers random customer demand, random spot prices and yield uncertainties in the context of a single-period newsvendor setting. The author also takes into account possible correlations between demand and spot prices and assumes all random variables to be normally distributed.…”

Section: Related Literaturementioning

confidence: 99%

Sustainable sourcing of strategic raw materials by integrating recycled materials

2017

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In this paper we investigate a manufacturer's sustainable sourcing strategy that includes recycled materials. To produce a short life-cycle electronic good, strategic raw materials can be bought from virgin material suppliers in advance of the season and via emergency shipments, as well as from a recycler. Hence, we take into account virgin and recycled materials from different sources simultaneously. Recycling makes it possible to integrate raw materials out of steadily increasing waste streams back into production processes. Considering stochastic prices for recycled materials, stochastic supply quantities from the recycler and stochastic demand as well as their potential dependencies, we develop a single-period inventory model to derive the order quantities for virgin and recycled raw materials to determine the related costs and to evaluate the effectiveness of the sourcing strategy. We provide managerial insights into the benefits of such a green sourcing approach with recycling and compare this strategy to standard sourcing without recycling. We conduct a full factorial design and a detailed numerical sensitivity analysis on the key input parameters to evaluate the cost savings potential. Furthermore, we consider the effects of correlations between the stochastic parameters. Green sourcing is especially beneficial in terms of cost savings for high demand variability, high prices of virgin raw material and low expected recycling prices as well as for increasing standard deviation of the recycling price. Besides these advantages it also contributes to environmental sustainability as, compared to sourcing without recycling, it reduces the total quantity ordered and, hence, emissions are reduced.

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Section: Related Literaturementioning

confidence: 99%

Sustainable sourcing of strategic raw materials by integrating recycled materials

2017

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“…A MIP model was developed and an improved ant colony method was proposed to solve the production scheduling and the First-Fit-Decreasing heuristic used in the bin-packing problem, for the distribution scheduling. While deterministic models mainly focus on the integration of production and distribution operations, supply chain risk management focuses on supplier selection and quantity allocation to determine appropriate mitigation and contingency strategies under supply disruption risks, e.g., Ruiz-Torres and Mahmoodi [25], Hou et al [26], Ruiz-Torres et al [27], Meena et al [28], Zeng and Xia [29], Heese [30], Qi et al [31], Torabi et al [32], Merzifonluoglu [33], He and Hongyan [34].…”

Section: Literature Reviewmentioning

confidence: 99%

“…In Sawik [4], the risk-neutral and the risk-averse solutions (e.g., Merzifonluoglu [33], Madadi et al, [35]) that minimize, respectively expected cost and expected worst-case cost were found for a single or multiple sourcing of different part types.…”

Section: Literature Reviewmentioning

confidence: 99%

Integrated supply, production and distribution scheduling under disruption risks

Sawik

2016

Omega

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“…Zhao et al (2013) analyzed the coordination of two-way options to supply chain, focusing on the feedback impact on retailers initial order strategies imposed by the capped option. Merzifonluoglu (2015) discussed mixed order strategies of retailers who purchase by integrating long-term contracts, option contracts and spot purchase under varied risk attitudes when the market demand, spot price and spot market were involved in different ways. Arani et al (2016) provided a new revenue sharing model regarding the issue of option contract-based supply chain coordination and discussed the supply chain coordination where retailers and manufacturers were considered supply chain leaders and the manufacturers output issues at Nash Equilibrium.…”

Section: Introductionmentioning

confidence: 99%

Procurement Strategies Using Portfolio Approach Based on Options and Spot Markets Procurement

Heng¹,

Xu²

2017

IJBM

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The paper explored the conditions for retailers to implement option contract and the strategies to make joint purchase in spot market. Under the condition of uncertain market demands, a joint purchase model integrating batch ordering, option contract and spot market has been developed. Considering price fluctuation, the conditions for implementing option contract-based ordering have been studied; the impacts of price fluctuation and option execution price on retailers optimal ordering of joint purchase have been analyzed as well. The result shows that if a retailer adopts a joint purchase strategy, certain constraints need to be met. Otherwise, it is more conductive for the retailer to maximize revenues by adopting a single purchase order. When the spot market is involved, the total order quantity and the order quantity of option contract are negatively correlated with the option execution price and are positively correlated with the spot price fluctuation; and, the order quantity of bulk order contract is positively correlated with the option execution price and is negatively correlated with the spot price fluctuation.

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Risk averse supply portfolio selection with supply, demand and spot market volatility

Cited by 68 publications

References 35 publications

Sustainable sourcing of strategic raw materials by integrating recycled materials

Sustainable sourcing of strategic raw materials by integrating recycled materials

Integrated supply, production and distribution scheduling under disruption risks

Procurement Strategies Using Portfolio Approach Based on Options and Spot Markets Procurement

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