Optimal Inventory Strategy Under Risk: A Contingent Claims Approach

Optimal Inventory Strategy Under Risk: A Contingent Claims Approach

Inventory management in the agriculture industry involves many sources of risk in terms of demand uncertainty as well as uncertain margins. Divulging an optimal inventory strategy can prove cumbersome to logistics managers. In this thesis, inventory is viewed as a real option on the ability to ope...

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Bibliographic Details
Main Author: Klebe, Jesse Daniel
Format: Others
Published: North Dakota State University 2019
Subjects:
Agricultural industries > Inventories.
Inventory control.
Online Access:https://hdl.handle.net/10365/29792
id ndltd-ndsu.edu-oai-library.ndsu.edu-10365-29792
record_format oai_dc
spelling ndltd-ndsu.edu-oai-library.ndsu.edu-10365-297922021-09-28T17:10:58Z Optimal Inventory Strategy Under Risk: A Contingent Claims Approach Klebe, Jesse Daniel Agricultural industries -- Inventories. Inventory control. Inventory management in the agriculture industry involves many sources of risk in terms of demand uncertainty as well as uncertain margins. Divulging an optimal inventory strategy can prove cumbersome to logistics managers. In this thesis, inventory is viewed as a real option on the ability to operate. Contingent claims inventory (CCI) analysis, paired with stochastic binomial real option valuation, provides a model which values the real option embedded in holding inventory and iterates the purchasing strategy until expected profit is maximized. This framework is applied to three industry cases pertaining to: wheat flour milling, fertilizer merchandising, and bulk shipments via primary rail contracts. 2019-05-24T20:30:53Z 2019-05-24T20:30:53Z 2019 text/thesis https://hdl.handle.net/10365/29792 NDSU policy 190.6.2 https://www.ndsu.edu/fileadmin/policy/190.pdf application/pdf North Dakota State University
collection NDLTD
format Others
sources NDLTD
topic Agricultural industries -- Inventories.
Inventory control.
spellingShingle Agricultural industries -- Inventories.
Inventory control.
Klebe, Jesse Daniel
Optimal Inventory Strategy Under Risk: A Contingent Claims Approach
description Inventory management in the agriculture industry involves many sources of risk in terms of demand uncertainty as well as uncertain margins. Divulging an optimal inventory strategy can prove cumbersome to logistics managers. In this thesis, inventory is viewed as a real option on the ability to operate. Contingent claims inventory (CCI) analysis, paired with stochastic binomial real option valuation, provides a model which values the real option embedded in holding inventory and iterates the purchasing strategy until expected profit is maximized. This framework is applied to three industry cases pertaining to: wheat flour milling, fertilizer merchandising, and bulk shipments via primary rail contracts.
author Klebe, Jesse Daniel
author_facet Klebe, Jesse Daniel
author_sort Klebe, Jesse Daniel
title Optimal Inventory Strategy Under Risk: A Contingent Claims Approach
title_short Optimal Inventory Strategy Under Risk: A Contingent Claims Approach
title_full Optimal Inventory Strategy Under Risk: A Contingent Claims Approach
title_fullStr Optimal Inventory Strategy Under Risk: A Contingent Claims Approach
title_full_unstemmed Optimal Inventory Strategy Under Risk: A Contingent Claims Approach
title_sort optimal inventory strategy under risk: a contingent claims approach
publisher North Dakota State University
publishDate 2019
url https://hdl.handle.net/10365/29792
work_keys_str_mv AT klebejessedaniel optimalinventorystrategyunderriskacontingentclaimsapproach
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