S.G. Johansen (Soren)
http://repub.eur.nl/ppl/47671/
List of Publicationsenhttp://repub.eur.nl/logo.jpg
http://repub.eur.nl/
RePub, Erasmus University RepositoryOptimal Hedging with the Vector
Autoregressive Model
http://repub.eur.nl/pub/51091/
Sun, 09 Feb 2014 00:00:01 GMT<div>L. Gatarek</div><div>S.G. Johansen</div>
__Abstract__
We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio.
We consider a model that allows for the hedges to be cointegrated with the hedged asset and among themselves. We nd that the minimum variance hedge for assets driven by the CVAR, depends strongly on the portfolio holding period. The hedge is dened as a function of correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite horizon, the hedge ratios shall be equal to the cointegrating vector. The hedge ratios for any intermediate portfolio holding period should be based on the weighted average of correlation and cointegration parameters.
The results are general and can be applied for any portfolio of assets that can be modeled by the CVAR of any rank and order.Periodic review lost-sales inventory models with compound Poisson demand and constant lead times of any length
http://repub.eur.nl/pub/32039/
Sun, 01 Jul 2012 00:00:01 GMT<div>M. Bijvank</div><div>S.G. Johansen</div>
In almost all literature on inventory models with lost sales and periodic reviews the lead time is assumed to be either an integer multiple of or less than the review period. In a lot of practical settings such restrictions are not satisfied. We develop new models allowing constant lead times of any length when demand is compound Poisson. Besides an optimal policy, we consider pure and restricted base-stock policies under new lead time and cost circumstances. Based on our numerical results we conclude that the latter policy, which imposes a restriction on the maximum order size, performs almost as well as the optimal policy. We also propose an approximation procedure to determine the base-stock levels for both policies with closed-form expressions.