AN OPTIMIZATION PROBLEM FOR A PRODUCTION SYSTEM WITH REAL OPTION APPROACH (Nonlinear Analysis and Convex Analysis)
Takashi Watabe, Yutaka Kimura · Kyoto University Research Information Repository (Kyoto University) · 2010
In this paper, we consider an optimization problem for a pro- duction system in consideration of the uncertainty of demand change, applying the real option called option to transfer.Furthermore, we suggest a risk minimization model for a production system using value-at-risk and conditional value-at-risk, and analyze the sensitivity of the model.