DOI QR코드

DOI QR Code

Improving a Risk-Averse Price-Fluctuating Inventory Model by Reallocating Initial Inventories

구매가격 변동 하에서 초기재고 재분배를 통한 위험회피 재고모형의 효율화

  • 박찬규 (동국대학교 서울캠퍼스 경영학부)
  • Received : 2012.09.23
  • Accepted : 2013.04.22
  • Published : 2013.06.30

Abstract

In traditional inventory models, purchase prices of raw materials are assumed to be fixed and have no effect on the optimal choice of inventory policies. However, when purchase prices fluctuate continuously over time, inventory costs are heavily affected by purchasing prices. Risk-averse inventory model decides order quantity and ordering time by considering not just purchase prices but also the risk from the discrepancy between estimated prices and realized prices. In this paper, we propose a myopic inventory policy which incorporates price risk into deciding ordering time and quantities. While the existing risk-averse model has no mechanism to reallocate inventories already purchased for a specific future period, the revised one reallocates initial inventories of each period to other future periods so that it can avoid purchasing raw materials at high prices. Experimental results demonstrate that the revised model outperforms the existing one in respect of total cost and variability.

Keywords

References

  1. 권정의, 백금계열 금속소재의 조달 및 재고비용에 관한 연구, 동국대학교 박사학위논문, 2004.
  2. 유석천, 박찬규, 정 욱, "구매가격 변동시 위험을 고려한 재고모형", 한국경영과학회지, 제35권, 제4호(2010), pp.33-53.
  3. Agrawal, V. and S. Seshadri, "Impact of uncertainty and risk aversion on price and order quantity in the newsvendor problem," Manufacturing and Service Operations Management, Vol.2(2000), pp.410-423. https://doi.org/10.1287/msom.2.4.410.12339
  4. Ardalan, A., "Combined optimal prices and optimal inventory replenishment policies when a sale results in increase in demand," Computers and Operations Research, Vol.18(1991), pp.721-730. https://doi.org/10.1016/0305-0548(91)90010-O
  5. Arnold, J., S. Minner, and B. Eidam, "Raw material procurement with fluctuating prices," International Journal of Production Economics, Vol.121(2009), pp.353-364. https://doi.org/10.1016/j.ijpe.2007.02.038
  6. Bachman, A., "Inventory control with price fluctuations," International Journal of Operations and Production Management, Vol.6 (1986), pp.58-64. https://doi.org/10.1108/eb054767
  7. Berling, P. and V. Martinez-de-Albeniz, "Optimal inventory policies when purchase price and demand are stochastic," Operations Research, Vol.59(2011), pp.109-124. https://doi.org/10.1287/opre.1100.0862
  8. Bouakiz, M. and M.J. Sobel, "Inventory control with an exponential utility criterion," Operations Research, Vol.40(1992), pp.603-608. https://doi.org/10.1287/opre.40.3.603
  9. Economic Research, Federal Reserve Bank of St. Louis, http://research.stlouisfed.org/fred2/.
  10. Gan, X., S.P. Sethi, and H. Yan, "Channel coordination with a risk-neutral supplier and a downside-risk-averse retailer," Production and Operations Management, Vol.14(2005), pp.80-89.
  11. Gascon, A., "On the finite horizon EOQ model with cost changes," Operations Research Vol.43(1995), pp.716-717. https://doi.org/10.1287/opre.43.4.716
  12. Gavirneni, S. and T.E. Morton, "Inventory control under speculation : Myopic heuristics and exact procedures," European Journal of Operational Research, Vol.117(1999), pp.211-221. https://doi.org/10.1016/S0377-2217(98)00265-3
  13. Gavirneni, S., "Periodic review inventory control with fluctuating purchasing costs," Operations Research Letters, Vol.32(2004), pp.374-379. https://doi.org/10.1016/j.orl.2003.11.003
  14. Golabi, K., "Optimal inventory policies when ordering prices are random," Operations Research, Vol.33(1985), pp.575-588. https://doi.org/10.1287/opre.33.3.575
  15. Hall, G. and J. Rust, "The (S, s) policy is an optimal trading strategy in a class of commodity price speculation problems," Economic Theory, Vol.30(2007), pp.515-538. https://doi.org/10.1007/s00199-005-0065-3
  16. International Monetary Fund, http://www.imf.org/external/np/res/commod/index.asp.
  17. Jacobs, F.R., R.B. Chase, and N.J. Aquilano, Operations and Supply Management, 12th ed., McGraw-Hill, 2009.
  18. Kalymon, B.A., "Stochastic prices in a single-item inventory purchasing model," Operations Research, Vol.19(1971), pp.1434-1458. https://doi.org/10.1287/opre.19.6.1434
  19. Lau, H., "The newsboy problem under alternative optimization objectives," Journal of Operational Research Society, Vol.31(1980), pp.525-535. https://doi.org/10.1057/jors.1980.96
  20. Lev, B. and H.J. Weiss, "Inventory models with cost changes," Operations Research, Vol.38(1990), pp.53-63. https://doi.org/10.1287/opre.38.1.53
  21. Li, C. and P. Kouvelis, "Flexible and risk-sharing supply contracts under price uncertainty," Management Science, Vol.45(1999), pp.1378-1398. https://doi.org/10.1287/mnsc.45.10.1378
  22. Manikas, A., Y.-L. Chang, and M. Ferguson, "BlueLinx can benefit from innovative inventory management methods for commodity forward buys," Omega, Vol.37(2009), pp.545-554. https://doi.org/10.1016/j.omega.2007.10.003
  23. Martel, A. and A. Gascon, "Dynamic lot-sizing with price changes and price-dependent holding costs," European Journal of Operations Research, Vol.111(1998), pp.114-128. https://doi.org/10.1016/S0377-2217(97)00325-1
  24. Ramasesh, R.V., "Lot-sizing decision under limited-time price incentives : A review," Omega, Vol.38(2010), pp.118-135. https://doi.org/10.1016/j.omega.2009.07.002
  25. Ramasesh, R.V. and R. Rachamadugu, "Evaluating lot-sizing strategies under limited-time pricein centives : An efficient lower bound," International Journal of Production Economics, Vol.138(2012), pp.177-182. https://doi.org/10.1016/j.ijpe.2012.03.021
  26. Scarf, H., "The optimality of (S, s) policies in the dynamic inventory problems," In : K.J. Arrow, S. Karlin, P. Suppes, editors, Mathematical Methods in the Social Sciences, Standford University Press, Stanford, 1960.
  27. Tajbakhsh, M.M., C. Lee, and S. Zolfaghari, "An inventory model with random discount offerings," Omega, Vol.39(2011), pp.710-718. https://doi.org/10.1016/j.omega.2011.02.003
  28. U.S. Energy Information Administration, http://www.eia.doe.gov/.
  29. Wang, Y., "The optimality of myopic stocking policies for systems with decreasing purchasing prices," European Journal of Operational Research, Vol.133(2001), pp.153-159. https://doi.org/10.1016/S0377-2217(00)00189-2
  30. Wu, J., J. Li, S. Wang, and T.C.E. Cheng, "Mean-variance analysis of the newsvendor model with stockout cost," Omega, Vol.37(2009), pp.724-730. https://doi.org/10.1016/j.omega.2008.02.005
  31. Yang, J., Y. Xia, "Acquisition management under fluctuating raw material prices," Production and Operations Management, Vol.18(2009), pp.212-225. https://doi.org/10.1111/j.1937-5956.2009.01010.x