Ioannis Avramopoulos, Prodromos Makris, Emmanouel Varvarigos
{"title":"Optimal procurement under backwardation and the benefits of the manifestation of demand aggregators","authors":"Ioannis Avramopoulos, Prodromos Makris, Emmanouel Varvarigos","doi":"10.1016/j.orl.2025.107286","DOIUrl":null,"url":null,"abstract":"<div><div>Normal backwardation manifests when the futures price of a commodity is below the expected future spot price. In this paper, we show how businesses can optimally leverage backwardation in their supply chain optimization. To that end, we derive the optimal amount a business ought to purchase in the futures market to take advantage of the favorable futures price in order to minimize the overall expected procurement cost. We further use Hoeffding's inequality to predict the manifestation of demand aggregators.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"61 ","pages":"Article 107286"},"PeriodicalIF":0.9000,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Operations Research Letters","FirstCategoryId":"91","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0167637725000471","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
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Abstract
Normal backwardation manifests when the futures price of a commodity is below the expected future spot price. In this paper, we show how businesses can optimally leverage backwardation in their supply chain optimization. To that end, we derive the optimal amount a business ought to purchase in the futures market to take advantage of the favorable futures price in order to minimize the overall expected procurement cost. We further use Hoeffding's inequality to predict the manifestation of demand aggregators.
期刊介绍：
Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.
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