Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/103727 
Erscheinungsjahr: 
2013
Quellenangabe: 
[Journal:] BuR - Business Research [ISSN:] 1866-8658 [Volume:] 6 [Issue:] 2 [Publisher:] VHB - Verband der Hochschullehrer für Betriebswirtschaft, German Academic Association of Business Research [Place:] Göttingen [Year:] 2013 [Pages:] 215-240
Verlag: 
VHB - Verband der Hochschullehrer für Betriebswirtschaft, German Academic Association of Business Research, Göttingen
Zusammenfassung: 
In this paper, we present a multi-stage stochastic programming model that integrates financial hedging decisions into the planning of strategic production networks under uncertain exchange rates and product demands. This model considers the expenses of production plants and the revenues of markets in different currency areas. Financial portfolio planning decisions for two types of financial instruments, forward contracts and options, are represented explicitly by multi-period decision variables and a multi-stage scenario tree. Using an illustrative example, we analyze the impact of exchange-rate and demand volatility, the level of investment expenses and interest rate spreads on capacity location and dimensioning decisions. In particular, we show that, in the illustrative example, the exchange-rate uncertainty cannot be completely eliminated by financial hedging in the presence of demand uncertainty. In this situation, we find that the integrated model can result in better strategic planning decisions for a risk-averse decision maker compared to traditional modeling approaches.
Schlagwörter: 
financial hedging
stochastic programming
strategic production network planning
uncertainty
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