Financial Hedging and Optimal Procurement Policies under Correlated Price and Demand

We consider a firm that procures an input commodity to produce an output commodity to sell to the end retailer. The retailer's demand for the output commodity is negatively correlated with the price of the output commodity. The firm can sell the output commodity to the retailer through a spot, forward or an index‐based contract. Input and output commodity prices are also correlated and follow a joint stochastic price process. The firm maximizes shareholder value by jointly determining optimal procurement and hedging policies. We show that partial hedging dominates both perfect hedging and no‐hedging when input price, output price, and demand are correlated. We characterize the optimal financial hedging and procurement policies as a function of the term structure of the commodity prices, the correlation between the input and output prices, and the firm's operating characteristics. In addition, our analysis illustrates that hedging is most beneficial when output price volatility is high and input price volatility is low. Our model is tested on futures price data for corn and ethanol from the Chicago Mercantile Exchange.     

投资者结构、交易失衡与商品期货市场的价格发现效率

基于上海期货交易所铝、铜、橡胶和燃料油期货合约两种投资者结构的分账户数据,分析不同类型投资者交易失衡对我国商品期货市场收益、价格发现与波动的影响。结果表明:(1)个人投资者和投机者的交易失衡暗示其寻找最佳买多或卖空时点的能力不足,存在明显的过度自信、过度投机和羊群行为,加剧商品期货价格波动;(2)机构投资者和套期保值者常常表现出与个人投资者和投机者相反的交易意愿,他们能够较好地把握买入与卖出时机,且更愿意冒险持有头寸,有助于缓解商品期货价格波动;(3)商品期货价格的变动趋势表明机构投资者和套期保值者具有一定的信息优势,能够在一定程度上预测商品期货价格的未来走势,他们极其乐观或悲观的交易失衡可以向商品期货市场传递有效的信息和时间信号。因此,提高机构投资者和套期保值者的成交量(持仓量)比例,优化投资者结构,可以有效促进我国商品期货市场的价格发现,降低期货价波动风险。此外,大型投机者的交易活动也可以在一定程度上缓解商品期货价格波动。     

Joint Ordering and Pricing Strategies for Managing Substitutable Products

Starr and Rubinson (1978) develop a model to establish the relationship between product demand and relative prices. The notion of relative prices motivates us to consider a situation in which a retailer would either charge the same retail price for all products if he adopts a ‘fixed’ pricing strategy or charge different prices for different products if he adopts a ‘variable’ pricing strategy. In this paper, we develop a base model with deterministic demand that is intended to examine how a retailer should jointly determine the order quantity and the retail price of two substitutable products under the fixed and variable pricing strategies. Our analysis indicates that the optimal retail price under the variable pricing strategy is equal to the optimal retail price under the fixed pricing strategy plus or minus an adjustment term. This adjustment term depends on product substitutability and price sensitivity. We also present two different extensions of our base model. In the first extension, our analysis indicates that the underlying structure of the optimal retail price and order quantity is preserved when there is a limit on the total order quantity. The second extension deals with the issue of retail competition. Relative to the base case, we show that the underlying structure of the optimal retail price and order quantity is preserved in a duopolistic environment. Moreover, our analysis suggests that both retailers would adopt the variable pricing strategy at the equilibrium.     

需求-汇率风险聚集下的汇率风险对冲与批发价激励

以一个由上游制造商和下游零售商组成的二级供应链为建模背景,在汇率风险和需求风险聚集(pooling)在下游零售商的情况下,分别建立了有无批发价激励情形下的两个动态博弈模型,获得了相应的均衡。通过分析相应的均衡,结果表明,(1)在两种情形下,零售商的汇率风险对冲行为具有稳定供应链生产行为的作用,但批发价激励能够提高零售商的汇率风险对冲比例和供应链节点企业间的交易价格;(2)与无批发价激励的情形相比,有批发价激励时的制造商利润较高,从而制造商有使用批发价激励零售商对冲汇率风险的动机;(3)在风险聚集下,"通过较低的批发价来激励零售商对冲汇率风险"这一策略能够实现供应链盈利水平与风险承担之间的权衡:需求和汇率风险增加均会使得供应链节点企业和供应链整体的盈利水平降低,同时也将降低风险聚集处的节点企业和供应链整体的利润方差。     

Promotion Planning and Supply Chain Contracting in a High–Low Pricing Environment

Demand forecast errors threaten the profitability of high–low price promotion strategies. This article shows how to match demand and supply effectively by means of two‐segment demand forecasting and supply contracts. We find that demand depends on the path of past retail prices, which leads to only a limited number of reachable demand states. However, forecast errors cannot be entirely eliminated because competitive promotions entail some degree of random (i.e., last‐minute) pricing. A hedging approach can be deployed to distribute demand risk efficiently over multiple promotional campaigns and within the supply chain. A retailer that employs a portfolio of forward, option, and spot contracts can avoid both stockouts and excess inventories while achieving the first‐best solution and Pareto improvements. We provide an improved forecasting method as well as stochastic programs to solve for optimal production and purchasing policies such that the right amount of inventory is available at the right time. By connecting a stockpiling model of demand with the supply side, we derive insights on optimal risk management strategies for both manufacturers and retailers in a market environment characterized by frequent price promotions and multiple discount levels. We employ a data set of the German retail market for a key generator of store traffic—namely, diapers.     

Uniform vs. Retailer‐Specific Pricing: Incentive Alignment to Enhance Supply Chain Efficiency

We consider a supplier selling to multiple retailers using one of two constant wholesale pricing strategies: a uniform wholesale price (UWP) vs. a retailer‐specific wholesale price (RSWP). In line with the prior literature in economics, our initial finding is that as long as retailers are asymmetric, then (a) the supplier and less efficient retailer would prefer the RSWP strategy and (b) the more efficient retailer would prefer the UWP strategy. By examining the total profits of the supply chain under each pricing strategy, we present a new result: the UWP strategy results in a greater degree of supply chain efficiency as compared to the RSWP strategy. The key intuition driving this result is that by charging a UWP, the supplier signals a fair treatment for downstream retailers, which leads to the more efficient retailer being able to reduce market prices and hence capture a larger share of market demand. Noting that the supplier prefers the RSWP scheme as compared to the UWP scheme, we propose a contract which comprises two components: a UWP per unit complemented with a slotting allowance or side payment. The contract is always preferred by the supplier and also leads to greater supply chain efficiency.     

Two-period pricing and ordering policy for the dominant retailer in a two-echelon supply chain with demand uncertainty

Retailing channels are increasingly being dominated by ‘power’ retailers who are in a position to dictate prices and ordering schedules to manufacturers and suppliers. A dominant retailer, such as Wal-Mart, has the ‘power’ to decide retail prices of products because there are so many manufacturers who are keen to sell their products through or to such a large and powerful retailer. Several products, such as electronic products, can be sold in the market for some periods during their lifecycles before they retreat, except when they are not popular with consumers after been introduced. Therefore, in case of such products, the retailer should not just consider a single-period pricing and ordering policy. It should make dynamic pricing and ordering decisions based on market demand forecast, in order to obtain maximum cumulative profit from the product during its lifecycle. In this study, we consider this scenario and construct a two-period model to discuss pricing and ordering problems for a dominant retailer with demand uncertainty in a declining price environment. We show that the maximum expected profit function is continuous concave, so the optimal solution to pricing and ordering policy exists and it is the one and only. We also analyze sensitivity of retailer's expected profit to the effects of parameters of price-discount sharing scheme and market demand.     

Differential Pricing for Information Sharing Under Competition

We consider a two‐echelon supply chain with a manufacturer supplying to multiple downstream retailers engaged in differentiated Cournot competition. Each retailer has private information about uncertain demand. The manufacturer is the Stackelberg leader who sets the contract terms with the retailers, and benefits from retailers sharing their private information. When all retailers are given the same wholesale price, truthful information sharing is not an equilibrium outcome. We propose two variants of differential pricing mechanisms that induce truthful information sharing by all retailers. The first variant rewards a retailer for providing optimistic information and achieves truthful information sharing as a unique equilibrium. The differential pricing mechanism is optimal in the class of linear‐price, incentive‐compatible, direct mechanisms. The second variant, which incorporates provision for a fixed payment in addition to wholesale prices, preserves all the equilibrium properties of the first variant and additionally “nearly coordinates” the supply chain. Our analysis of differential pricing with a fixed payment provides interesting observations regarding the relationship between product substitutability, number of retailers, information precision, and market power. As products become closer substitutes and/or number of retailers increase, the manufacturer's market power increases, enabling her to extract a larger fraction of the supply chain surplus.     

Coping with Gray Markets: The Impact of Market Conditions and Product Characteristics

Gray markets, also known as parallel imports, have created fierce competition for manufacturers in many industries. We analyze the impact of parallel importation on a price‐setting manufacturer that serves two markets with uncertain demand, and characterize her policy against parallel importation. We show that ignoring demand uncertainty can take a significant toll on the manufacturer's profit, highlighting the value of making price and quantity decisions jointly. We find that adjusting prices is more effective in controlling gray market activity than reducing product availability, and that parallel importation forces the manufacturer to reduce her price gap while demand uncertainty forces her to lower prices. Furthermore, we explore the impact of market conditions (such as market base, price sensitivity, and demand uncertainty) and product characteristics (“fashion” vs. “commodity”) on the manufacturer's policy towards parallel importation. We also provide managerial insights about the value of strategic decision‐making by comparing the optimal policy to the uniform pricing policy that has been adopted by some companies to eliminate gray markets entirely. The comparison indicates that the value of making price and quantity decisions strategically is highest for moderately different market conditions and non‐commodity products.     

Production and pricing problems in make-to-order supply chain with cap-and-trade regulation

This paper studies the production and pricing problems in MTO (make-to-order) supply chain containing an upstream manufacturer who produces two products based on MTO production and a downstream retailer. The manufacturer is regulated by cap-and-trade regulation and determines the wholesale prices of the two products. To comply with the regulation, the manufacturer can buy or sell emission permits through an outside market. The retailer determines its order quantities to meet the price-sensitive demands. We derive the optimal total emissions and production quantities of the two products, and based on them, we analyze the impact of emission trading price on the optimal production decisions and the two firms’ optimal profits. The emission trading decisions follow a two-threshold policy and the optimal total emissions are increasing in the cap. However, contrary to intuition, the optimal production quantities of the two products may be decreasing in the cap. The manufacturer׳s optimal profit is decreasing (increasing) in the buying (selling) price of emission permits, and that the retailer׳s optimal profit is decreasing in the buying (selling) price of emission permits. The optimal total emissions are decreasing in buying or selling price of emission permits, however, the optimal production quantities of the two products may be increasing (decreasing) in the buying (selling) price of emission permits. Numerical examples are conducted to illustrate our findings and some managerial insights are presented.     

碳限额与碳交易机制下考虑公平关切的供应链定价与协调研究

供应链企业的公平关切是发展与维持良好供应链上下游合作关系的重要因素。面对消费者的低碳偏好与碳排放规制约束,供应链企业在确定最优定价与减排水平等运作决策时,常常表现较强的公平关切倾向。探究环保规制下公平关切如何影响供应链的运作决策,可以为供应链合作提供对策。本文在碳限额与碳交易机制下,研究了由公平关切制造商和公平关切零售商组成的低碳供应链的最优定价和碳减排率等决策,分析了公平关切对最优定价和碳减排水平及利润的影响,并讨论了收益共享-成本共担契约模型对供应链的协调性,最后通过数值仿真验证了主要结论。结果表明：(1)制造商和零售商都公平关切时,收益共享-成本共担契约的参数若满足一定条件,供应链可以实现协调。(2)批发价与制造商公平关切系数正相关,零售价与制造商和零售商公平关切系数都正相关;若制造商考虑零售商公平关切则批发价的变化取决于碳减排成本系数的大小,碳减排率与制造商和零售商的公平关切系数是负相关;若制造商忽视零售商的公平关切,则批发价仅受制造商自身公平关切的影响, 碳减排率与制造商公平关切负相关,与零售商公平关切无关。(3)制造商公平关切对双方利润具有负向影响,零售商公平关切对制造商利润也有负向影响,而零售商利润随自身公平关切的变化情况取决于制造商是否考虑其公平关切,若考虑则两者正相关,否则两者负相关。     

双渠道零售商和传统零售商的定价策略

在单制造商和两个具有竞争行为零售商的供应链系统中，本文研究了双渠道零售商和传统零售商的定价决策问题。首先，在零售商间进行Stackelberg博弈假设前提下，分别针对双渠道零售商和传统零售商作为领导者的情况，构建了两种模式下的零售商定价决策模型，给出了零售商的最优定价策略；其次，分析了零售商在特定情形下的定价策略；最后，用数值算例分析了模型参数对最优结果的影响。通过对比研究和数值算例分析发现：对于零售商来说，作为Stackelberg的领导者时的总利润要比作为追随者时的总利润大；对于供应商而言，传统渠道的零售商做主导者时的总利润要比双渠道零售商做主导者时的总利润大。     

Demand Forecast Sharing in Supply Chains

This paper examines the incentives of a manufacturer and a retailer to share their demand forecasts. The demand at the retailer is a linearly decreasing function of price. The manufacturer sets the wholesale price first, and the retailer sets the retail price after observing the wholesale price. Both players set their prices based on their forecasts of demand. In the make‐to‐order scenario, the manufacturer sets the production quantity after observing the actual demand; in the make‐to‐stock scenario, the manufacturer sets the production quantity before the demand is realized. In the make‐to‐order scenario, we show that sharing the forecast unconditionally by the retailer with the manufacturer benefits the manufacturer but hurts the retailer. We also demonstrate that a side payment contract cannot induce Pareto‐optimal information sharing equilibrium, but a discount based wholesale price contract can. The social welfare as well as consumer surplus is higher under the discount contract, compared with under no information sharing. In the make‐to‐stock scenario, the manufacturer realizes additional benefits in the form of savings in inventory holding and shortage costs when forecasts are shared. If the savings from inventory holding and shortage costs because of information sharing are sufficiently high, then a side payment contract that induces Pareto‐optimal information sharing is feasible in the make‐to‐stock scenario. We also provide additional managerial insights with the help of a computational study.     

随机需求下考虑不同竞争情形的网约车平台动态定价

针对乘车需求波动下网约车平台间存在乘车需求竞争和乘运供应竞争的最优定价问题，以平台期望收益最大化为目标，运用最优控制论方法，构建不同竞争情形下的网约车平台动态定价模型，并利用哈密尔顿函数及模型推导，求得最优动态竞争价格解以及乘运供应率与需求率的变化轨迹。结果表明：平台最优动态竞争价格随市场需求的波动而动态变化，且最优价格可以有效调控平台供应能力，促使平台供需匹配，优化平台期望收益。此外，乘车需求市场竞争越激烈，平台最优价格越低，而乘运供应市场竞争越激烈，最优价格越高。平台间竞争的加剧将降低平台的期望收益，且平台期望收益随着固定佣金报酬率的提高先增大后减小。     

Committed Versus Contingent Pricing Under Competition

Should capacitated firms set prices responsively to uncertain market conditions in a competitive environment? We study a duopoly selling differentiated substitutable products with fixed capacities under demand uncertainty, where firms can either commit to a fixed price ex ante, or elect to price contingently ex post, e.g., to charge high prices in booming markets, and low prices in slack markets. Interestingly, we analytically show that even for completely symmetric model primitives, asymmetric equilibria of strategic pricing decisions may arise, in which one firm commits statically and the other firm prices contingently; in this case, there also exists a unique mixed strategy equilibrium. Such equilibrium behavior tends to emerge, when capacity is ampler, and products are less differentiated or demand uncertainty is lower. With asymmetric fixed capacities, if demand uncertainty is low, a unique asymmetric equilibrium emerges, in which the firm with more capacity chooses committed pricing and the firm with less capacity chooses contingent pricing. We identify two countervailing profit effects of contingent pricing under competition: gains from responsively charging high price under high demand, and losses from intensified price competition under low demand. It is the latter detrimental effect that may prevent both firms from choosing a contingent pricing strategy in equilibrium. We show that the insights remain valid when capacity decisions are endogenized. We caution that responsive price changes under aggressive competition of less differentiated products can result in profit‐killing discounting.     

Modeling Price Volatility Based on a Genetic Programming Approach

Business profitability is highly dependent on risk management strategies to hedge future cash flow uncertainty. Commodity price shocks and fluctuations are key risks for companies with global supply chains. The purpose of this paper is to show how artificial intelligence (AI) techniques can be used to model the volatility of commodity prices. More specifically, the authors introduce a new model – LIQ‐GARCH – that uses genetic programming to forecast volatility. The newly generated model is then used to forecast the volatility of the following three indexes: the Commodity Research Bureau (CRB) index, the West Texas Intermediate (WTI) oil futures prices and the Baltic Dry Index (BDI). The empirical model performance tests show that the newly generated model in this paper is considerably more accurate than the traditional GARCH model. As a result, this model can help businesses to design optimal risk management strategies and to hedge themselves against price uncertainty.     

碳税政策下考虑参考碳排放的供应链成员行为选择研究

在由一个制造商和一个零售商组成的低碳供应链中,研究碳税政策下供应链成员的行为选择问题。引入参考碳排放来刻画消费者的低碳偏好对市场需求的影响,在收益共享契约下构建了以制造商主导、零售商跟随的Stackelberg微分博弈模型。分析了制造商的行为选择对参考碳排放、碳排放和定价策略以及双方利润的影响。结果表明,短视制造商会导致更低的产品碳排放,而碳税的高低和初始参考碳排放的大小则会影响供应链成员的定价和减排策略。零售商更倾向于与短视制造商合作,而制造商综合考虑碳税和收益共享比例的大小后会有不同的行为选择。     

随机需求和联合促销下双渠道供应链的竞争与协调

针对制造商同时拥有零售渠道和网上直销渠道的双渠道供应链系统,在随机需求和联合促销情况下,对制造商和零售商之间的价格竞争和协调问题进行研究.研究表明价格的纳什均衡解存在,网上渠道的最优价格随零售商促销努力程度的增大而降低.当制造商分担促销成本的比例上升时,零售商促销的努力程度会增加.当比例值较低时,零售商的努力程度变化不大;当比例值超过一定数值时,零售商的努力程度会显著增加.回购契约能给制造商和零售商双方带来好处,但不能实现双渠道供应链的协调.     

Combined Pricing and Portfolio Option Procurement

In this paper, we study a single‐product periodic‐review inventory system that faces random and price‐dependent demand. The firm can purchase the product either from option contracts or from the spot market. Different option contracts are offered by a set of suppliers with a two‐part fee structure: a unit reservation cost and a unit exercising cost. The spot market price is random and its realization may affect the subsequent option contract prices. The firm decides the reservation quantity from each supplier and the product selling price at the beginning of each period and the number of options to exercise (inventory replenishment) at the end of the period to maximize the total expected profit over its planning horizon. We show that the optimal inventory replenishment policy is order‐up‐to type with a sequence of decreasing thresholds. We also investigate the optimal option‐reservation policy and the optimal pricing strategy. The optimal reservation quantities and selling price are shown to be both decreasing in the starting inventory level when demand function is additive. Building upon the analytical results, we conduct a numerical study to unveil additional managerial insights. Among other things, we quantify the values of the option contracts and dynamic pricing to the firm and show that they are more significant when the market demand becomes more volatile.     

突发性产出下的供应链协调应对策略

针对突发事件影响制造商产出的情形，研究了收益共享契约协调应对突发产出事件的有效性问题。首先论证了无突发产出事件时收益共享契约协调供应链的有效性，进而分析了突发产出事件对供应链最优生产计划、定价决策、绩效和协调性的影响。然后，建立了突发产出事件下的收益共享契约协调应对模型，并对原收益共享契约和修正后的收益共享契约进行了对比分析。研究表明：当突发产出事件导致产出扰动范围较小时，供应链的最优生产计划、批发价格和零售价格几乎保持不变，仅当产出扰动范围较大时，三者才需要同时调整，此时原供应链的协调性也将被打破，而修正后的收益共享契约具有良好的抗突发性。最后，通过算例进行了验证。