Optimal Control and Hedging of Operations in the Presence of Financial Markets
研究了当公司利润与金融市场回报相关时，如何动态对冲利润，并同时优化运营策略和对冲策略，展示了不同信息假设下的对冲方法。
We consider the problem of dynamically hedging the profits of a corporation when these profits are correlated with returns in the financial markets. In particular, we consider the general problem of simultaneously optimizing over both the operating policy and the hedging strategy of the corporation. We discuss how different informational assumptions give rise to different types of hedging and solution techniques. Finally, we solve some problems commonly encountered in operations management to demonstrate the methodology.