Financial risk assessment of different inventory policies
This work addresses the valuation of economic effects of different inventory holding policies. We study the VaR over the value of a company and the variations induced on this indicator by the changes made to the working capital, related to inventory policies. Three typical different inventory system...
- Autores:
-
Toro, Héctor Hernán
Rivera, Leonardo
Manotas, Diego Fernando
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2011
- Institución:
- Universidad EIA .
- Repositorio:
- Repositorio EIA .
- Idioma:
- eng
- OAI Identifier:
- oai:repository.eia.edu.co:11190/141
- Acceso en línea:
- https://repository.eia.edu.co/handle/11190/141
- Palabra clave:
- REI00160
ORGANIZACIÓN E INDUSTRIA
ORGANIZATION AND INDUSTRY
CONTROL DE INVENTARIOS
INVENTORY CONTROL
INVESTMENT ANALYSIS
INVENTARIO – ADMINISTRACIÓN
MONTE CARLO SIMULATION
VALUE AT RISK
ANÁLISIS DE INVERSIONES
INVENTORY - ADMINISTRATION
SIMULACIÓN DE MONTE CARLO
VALOR EN RIESGO
- Rights
- openAccess
- License
- Derechos Reservados - Universidad EIA, 2020
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| dc.title.spa.fl_str_mv |
Financial risk assessment of different inventory policies |
| dc.title.alternative.spa.fl_str_mv |
Avaliação de risco financeiro para diferentes políticas de estoque Evaluación de riesgo financiero para diferentes políticas de inventario |
| title |
Financial risk assessment of different inventory policies |
| spellingShingle |
Financial risk assessment of different inventory policies REI00160 ORGANIZACIÓN E INDUSTRIA ORGANIZATION AND INDUSTRY CONTROL DE INVENTARIOS INVENTORY CONTROL INVESTMENT ANALYSIS INVENTARIO – ADMINISTRACIÓN MONTE CARLO SIMULATION VALUE AT RISK ANÁLISIS DE INVERSIONES INVENTORY - ADMINISTRATION SIMULACIÓN DE MONTE CARLO VALOR EN RIESGO |
| title_short |
Financial risk assessment of different inventory policies |
| title_full |
Financial risk assessment of different inventory policies |
| title_fullStr |
Financial risk assessment of different inventory policies |
| title_full_unstemmed |
Financial risk assessment of different inventory policies |
| title_sort |
Financial risk assessment of different inventory policies |
| dc.creator.fl_str_mv |
Toro, Héctor Hernán Rivera, Leonardo Manotas, Diego Fernando |
| dc.contributor.author.spa.fl_str_mv |
Toro, Héctor Hernán Rivera, Leonardo Manotas, Diego Fernando |
| dc.subject.lcsh.spa.fl_str_mv |
REI00160 |
| topic |
REI00160 ORGANIZACIÓN E INDUSTRIA ORGANIZATION AND INDUSTRY CONTROL DE INVENTARIOS INVENTORY CONTROL INVESTMENT ANALYSIS INVENTARIO – ADMINISTRACIÓN MONTE CARLO SIMULATION VALUE AT RISK ANÁLISIS DE INVERSIONES INVENTORY - ADMINISTRATION SIMULACIÓN DE MONTE CARLO VALOR EN RIESGO |
| dc.subject.eia.spa.fl_str_mv |
ORGANIZACIÓN E INDUSTRIA ORGANIZATION AND INDUSTRY |
| dc.subject.eurovoc.spa.fl_str_mv |
CONTROL DE INVENTARIOS INVENTORY CONTROL |
| dc.subject.keywords.spa.fl_str_mv |
INVESTMENT ANALYSIS INVENTARIO – ADMINISTRACIÓN MONTE CARLO SIMULATION VALUE AT RISK ANÁLISIS DE INVERSIONES INVENTORY - ADMINISTRATION SIMULACIÓN DE MONTE CARLO VALOR EN RIESGO |
| description |
This work addresses the valuation of economic effects of different inventory holding policies. We study the VaR over the value of a company and the variations induced on this indicator by the changes made to the working capital, related to inventory policies. Three typical different inventory systems are studied and comparisons are drawn between different policies. Policies derived from net present value (NPV) maximization are contrasted against cost minimization, as well as against arbitrary inventory policies derived from market conditions. Every inventory system under study is evaluated using two performance indicators: NPV and VaR over NPV. The inventory policies are derived in a deterministic scenario, but are tested under the risk conditions that the inventory systems have to face. This is done by using Monte Carlo simulation. In all three of the inventory systems under study, the difference between price and variable cost is what causes the greatest variation on the NPV indicator. An important result of this work is that for the cases studied, which are rather common in the real world, the optimal inventory policies obtained by using the cost minimization approach are equally good from a risk minimization perspective tan those obtained by using the profit maximization approach. |
| publishDate |
2011 |
| dc.date.created.spa.fl_str_mv |
2011-12 |
| dc.date.submitted.spa.fl_str_mv |
2011-05-02 |
| dc.date.accepted.spa.fl_str_mv |
2011-10-21 |
| dc.date.accessioned.spa.fl_str_mv |
2013-11-14T15:36:32Z |
| dc.date.available.spa.fl_str_mv |
2013-11-14T15:36:32Z |
| dc.date.issued.spa.fl_str_mv |
2013-11-14 |
| dc.type.spa.fl_str_mv |
Artículo de revista |
| dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_2df8fbb1 |
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http://purl.org/coar/resource_type/c_6501 |
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info:eu-repo/semantics/article |
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info:eu-repo/semantics/publishedVersion |
| dc.type.content.spa.fl_str_mv |
Text |
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https://purl.org/redcol/resource_type/ART |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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http://purl.org/coar/resource_type/c_6501 |
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publishedVersion |
| dc.identifier.issn.spa.fl_str_mv |
ISSN 17941237 |
| dc.identifier.uri.spa.fl_str_mv |
https://repository.eia.edu.co/handle/11190/141 |
| dc.identifier.bibliographiccitation.spa.fl_str_mv |
Toro, H. H., Rivera, L., and Manotas D. F. (2011), Financial risk assessment of different inventory policies, Revista EIA, 8 (16), 43-60. doi: http://hdl.handle.net/11190/141 |
| identifier_str_mv |
ISSN 17941237 Toro, H. H., Rivera, L., and Manotas D. F. (2011), Financial risk assessment of different inventory policies, Revista EIA, 8 (16), 43-60. doi: http://hdl.handle.net/11190/141 |
| url |
https://repository.eia.edu.co/handle/11190/141 |
| dc.language.iso.spa.fl_str_mv |
eng |
| language |
eng |
| dc.relation.ispartof.spa.fl_str_mv |
Revista EIA |
| dc.relation.references.spa.fl_str_mv |
Ahmed, Shabbir; Çakmak, Ulas and Shapiro, Alexander (2007). “Coherent risk measures in inventory problems”. European Journal of Operational Research, vol. 182, No. 1 (October), pp. 226-238. Borgonovo, E. and Peccati, L. (2009). “Financial management in inventory problems: Risk averse vs risk neutral policies”. International Journal of Production Economics, vol. 118, No. 1 (March), pp. 233-242. Bulinskaya, Ekaterina V. (2003). “Inventory control and investment policy”. International Journal of Production Economics, vol. 81-82 (January), pp. 309-316. Chung, Kun-Jen and Lin, Shy-Der (1995). “Evaluating investment in inventory policy under a net present value framework”. The Engineering Economist, vol. 40, No. 4 (Summer), pp. 377-383. Disney, S. M. and Grubbström, R. (2004). “Economic consequences of a production and inventory control policy”. International Journal of Production Research, vol. 42, No. 17 (September), pp. 3419-3431. |
| dc.rights.spa.fl_str_mv |
Derechos Reservados - Universidad EIA, 2020 |
| dc.rights.uri.spa.fl_str_mv |
https://creativecommons.org/licenses/by-nc/4.0/ |
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info:eu-repo/semantics/openAccess |
| dc.rights.creativecommons.spa.fl_str_mv |
Atribución-NoComercial |
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http://purl.org/coar/access_right/c_abf2 |
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Derechos Reservados - Universidad EIA, 2020 https://creativecommons.org/licenses/by-nc/4.0/ Atribución-NoComercial http://purl.org/coar/access_right/c_abf2 |
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openAccess |
| dc.format.extent.spa.fl_str_mv |
18 p. |
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Fondo Editorial EIA |
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Toro, Héctor Hernán4e1e6aff18c3b7747ad7dc16f4bd4c37-1Rivera, Leonardoee92d37f01b8e25bb0f737fc54bf2e8e-1Manotas, Diego Fernandoe0a9f094eea5f72ee1d77f4b3cc4801b-1htorodi@clemson.eduleonardo@ icesi.edu.comanotas@correounivalle. edu.co2013-11-14T15:36:32Z2013-11-14T15:36:32Z2011-122013-11-142011-05-022011-10-21ISSN 17941237https://repository.eia.edu.co/handle/11190/141Toro, H. H., Rivera, L., and Manotas D. F. (2011), Financial risk assessment of different inventory policies, Revista EIA, 8 (16), 43-60. doi: http://hdl.handle.net/11190/141This work addresses the valuation of economic effects of different inventory holding policies. We study the VaR over the value of a company and the variations induced on this indicator by the changes made to the working capital, related to inventory policies. Three typical different inventory systems are studied and comparisons are drawn between different policies. Policies derived from net present value (NPV) maximization are contrasted against cost minimization, as well as against arbitrary inventory policies derived from market conditions. Every inventory system under study is evaluated using two performance indicators: NPV and VaR over NPV. The inventory policies are derived in a deterministic scenario, but are tested under the risk conditions that the inventory systems have to face. This is done by using Monte Carlo simulation. In all three of the inventory systems under study, the difference between price and variable cost is what causes the greatest variation on the NPV indicator. An important result of this work is that for the cases studied, which are rather common in the real world, the optimal inventory policies obtained by using the cost minimization approach are equally good from a risk minimization perspective tan those obtained by using the profit maximization approach.Este trabajo se concentra en la evaluación de los efectos económicos asociados a diferentes políticas de inventario. Se estudia el valor en riesgo del valor de una compañía, además de las variaciones inducidas por los cambios en el capital de trabajo asociados a diferentes políticas de inventario. Se estudian tres sistemas de inventario y se comparan diferentes políticas. Se contrastan las políticas derivadas de la maximización del valor presente neto (VPN) contra la minimización de costos y contra políticas de inventario arbitrarias derivadas de las condiciones de mercado. Para cada sistema de inventario se estiman dos indicadores de desempeño: VPN y VaR del VPN. Las políticas de inventario se construyeron en un escenario de certeza, pero se evalúan incorporando diferentes condiciones de riesgo, para lo cual se utiliza simulación de Monte Carlo. Las conclusiones se obtienen a partir del desempeño observado en diferentes casos de estudio, usando ambos indicadores. En los tres sistemas de inventario bajo estudio, la diferencia entre precio y costo variable es lo que causa la mayor variación en el indicador del VPN. Un resultado importante de este trabajo es que para los casos estudiados, más bien comunes en el mundo real, las políticas de inventario óptimo obtenidas por minimización de costos son, desde la perspectiva de la minimización de riesgo, tan buenas como las obtenidas mediante maximización del beneficio.18 p.application/pdfengRevista EIAAhmed, Shabbir; Çakmak, Ulas and Shapiro, Alexander (2007). “Coherent risk measures in inventory problems”. European Journal of Operational Research, vol. 182, No. 1 (October), pp. 226-238.Borgonovo, E. and Peccati, L. (2009). “Financial management in inventory problems: Risk averse vs risk neutral policies”. International Journal of Production Economics, vol. 118, No. 1 (March), pp. 233-242.Bulinskaya, Ekaterina V. (2003). “Inventory control and investment policy”. International Journal of Production Economics, vol. 81-82 (January), pp. 309-316.Chung, Kun-Jen and Lin, Shy-Der (1995). “Evaluating investment in inventory policy under a net present value framework”. The Engineering Economist, vol. 40, No. 4 (Summer), pp. 377-383.Disney, S. M. and Grubbström, R. (2004). “Economic consequences of a production and inventory control policy”. International Journal of Production Research, vol. 42, No. 17 (September), pp. 3419-3431.Derechos Reservados - Universidad EIA, 2020https://creativecommons.org/licenses/by-nc/4.0/El autor de la obra, actuando en nombre propio, hace entrega del ejemplar respectivo y de sus anexos en formato digital o electrónico y autoriza a la ESCUELA DE INGENIERIA DE ANTIOQUIA, para que en los términos establecidos en la Ley 23 de 1982, Ley 44 de 1993, Decisión andina 351 de 1993, Decreto 460 de 1995, y demás normas generales sobre la materia, utilice y use por cualquier medio conocido o por conocer, los derechos patrimoniales de reproducción, comunicación pública, transformación y distribución de la obra objeto del presente documento. PARÁGRAFO: La presente autorización se hace extensiva no sólo a las dependencias y derechos de uso sobre la obra en formato o soporte material, sino también para formato virtual, electrónico, digital, y en red, internet, extranet, intranet, etc., y en general en cualquier formato conocido o por conocer. EL AUTOR, manifiesta que la obra objeto de la presente autorización es original y la realiza sin violar o usurpar derechos de autor de terceros, por lo tanto la obra es de exclusiva autoría y tiene la titularidad sobre la misma. PARÁGRAFO: En caso de presentarse cualquier reclamación o acción por parte de un tercero en cuanto a los derechos de autor sobre la obra en cuestión, EL AUTOR, asumirá toda la responsabilidad, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos la ESCUELA DE INGENIERÍA DE ANTIOQUIA actúa como un tercero de buena fe.info:eu-repo/semantics/openAccessAtribución-NoComercialhttp://purl.org/coar/access_right/c_abf2REI00160ORGANIZACIÓN E INDUSTRIAORGANIZATION AND INDUSTRYCONTROL DE INVENTARIOSINVENTORY CONTROLINVESTMENT ANALYSISINVENTARIO – ADMINISTRACIÓNMONTE CARLO SIMULATIONVALUE AT RISKANÁLISIS DE INVERSIONESINVENTORY - ADMINISTRATIONSIMULACIÓN DE MONTE CARLOVALOR EN RIESGOFinancial risk assessment of different inventory policiesAvaliação de risco financeiro para diferentes políticas de estoqueEvaluación de riesgo financiero para diferentes políticas de inventarioArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionTexthttps://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_970fb48d4fbd8a85Fondo Editorial EIAPublicationTHUMBNAILREI00160.pdf.jpgREI00160.pdf.jpgGenerated Thumbnailimage/jpeg10777https://repository.eia.edu.co/bitstreams/b91f7378-45e6-4a26-9e6b-28bacf0ef548/download879a57c0ae6234576e7465e3a111ea0fMD54ORIGINALREI00160.pdfREI00160.pdfapplication/pdf1811629https://repository.eia.edu.co/bitstreams/46faa1d0-afd0-4c29-a057-b13af29686a9/download460a912bdf68909e6e469ca4003720ffMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-81494https://repository.eia.edu.co/bitstreams/bf34af20-08b3-4819-9d74-4e7a2667f12d/download66874b0b9366b748c60895d2fb6339f8MD52TEXTREI00160.pdf.txtREI00160.pdf.txtExtracted texttext/plain48998https://repository.eia.edu.co/bitstreams/c1936573-ae00-4787-80ba-87b59e2c2295/download2a8a6429cd48584bfa4dc267a329e57dMD5311190/141oai:repository.eia.edu.co:11190/1412023-07-25 17:08:18.157https://creativecommons.org/licenses/by-nc/4.0/Derechos Reservados - Universidad EIA, 2020open.accesshttps://repository.eia.edu.coRepositorio Institucional Universidad EIAbdigital@metabiblioteca.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 |