Model of price volatility risk management for firm with perfectly structured technology

Andrejs Jaunzems; Ilze Balode

Model of price volatility risk management for firm with perfectly structured technology

Andrejs Jaunzems (Corresponding Author)
, Ilze Balode

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Research › peer-review

Abstract

In this paper, a multi-product firm is covered, and an original model for management of the risk that arises from product price volatility is presented. The model is applicable in cases, when the company management without significant cost may vary the quantities of individual products within a given output structure. According to the classical paradigm of risk analysis by Daniel Bernoulli, with respect to stochastic profit, every plan of output is characterized by two criteria - expected profit and standard deviation of profit. In order to characterize the strategies of management, the concept of Bernoulli set is introduced in this paper. Ideas of Markowitz and Freund are applied to the firm TPF (technology, production, finances) model, which consider in the holistic approach the technology, production and finances of the firm.

Original language	English
Title of host publication	15th International Scientific Conference "Engineering for Rural Development"
Subtitle of host publication	Proceedings
Place of Publication	Jelgava
Publisher	Latvia University of Agriculture
Pages	342-353
Number of pages	12
Volume	2016
Publication status	Published - 2016
Externally published	Yes
Event	15th International Scientific Conference on Engineering for Rural Development - Latvia University of Life Sciences and Technologies, Jelgava, Latvia Duration: 25 May 2016 → 27 May 2016 Conference number: 15 https://bazawiedzy.pb.edu.pl/info/book/BUT1cd850cc809d4c53b4355d41d48c4baf/ https://www.iitf.lbtu.lv/conference/proceedings2016/

Publication series

Name	Engineering for Rural Development
Publisher	Latvia University of Agriculture
ISSN (Print)	1691-3043

Conference

Conference	15th International Scientific Conference on Engineering for Rural Development
Country/Territory	Latvia
City	Jelgava
Period	25/05/16 → 27/05/16
Internet address	https://bazawiedzy.pb.edu.pl/info/book/BUT1cd850cc809d4c53b4355d41d48c4baf/ https://www.iitf.lbtu.lv/conference/proceedings2016/

Keywords*

Bernoulli set
Maximal efficient risk
Pareto frontier
Price volatility
Risk management
TPF model

Field of Science*

5.2 Economy and Business

Publication Type*

3.1. Articles or chapters in proceedings/scientific books indexed in Web of Science and/or Scopus database

Cite this

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title = "Model of price volatility risk management for firm with perfectly structured technology",

abstract = "In this paper, a multi-product firm is covered, and an original model for management of the risk that arises from product price volatility is presented. The model is applicable in cases, when the company management without significant cost may vary the quantities of individual products within a given output structure. According to the classical paradigm of risk analysis by Daniel Bernoulli, with respect to stochastic profit, every plan of output is characterized by two criteria - expected profit and standard deviation of profit. In order to characterize the strategies of management, the concept of Bernoulli set is introduced in this paper. Ideas of Markowitz and Freund are applied to the firm TPF (technology, production, finances) model, which consider in the holistic approach the technology, production and finances of the firm.",

keywords = "Bernoulli set, Maximal efficient risk, Pareto frontier, Price volatility, Risk management, TPF model",

author = "Andrejs Jaunzems and Ilze Balode",

year = "2016",

language = "English",

volume = "2016",

series = "Engineering for Rural Development",

publisher = "Latvia University of Agriculture",

pages = "342--353",

booktitle = "15th International Scientific Conference {"}Engineering for Rural Development{"}",

note = "15th International Scientific Conference on Engineering for Rural Development ; Conference date: 25-05-2016 Through 27-05-2016",

url = "https://bazawiedzy.pb.edu.pl/info/book/BUT1cd850cc809d4c53b4355d41d48c4baf/, https://www.iitf.lbtu.lv/conference/proceedings2016/",

}

Jaunzems, A & Balode, I 2016, Model of price volatility risk management for firm with perfectly structured technology. in 15th International Scientific Conference "Engineering for Rural Development": Proceedings. vol. 2016, Engineering for Rural Development, Latvia University of Agriculture, Jelgava, pp. 342-353, 15th International Scientific Conference on Engineering for Rural Development, Jelgava, Latvia, 25/05/16.

Model of price volatility risk management for firm with perfectly structured technology. / Jaunzems, Andrejs (Corresponding Author); Balode, Ilze.
15th International Scientific Conference "Engineering for Rural Development": Proceedings. Vol. 2016 Jelgava: Latvia University of Agriculture, 2016. p. 342-353 (Engineering for Rural Development).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Research › peer-review

TY - GEN

T1 - Model of price volatility risk management for firm with perfectly structured technology

AU - Jaunzems, Andrejs

AU - Balode, Ilze

N1 - Conference code: 15

PY - 2016

Y1 - 2016

N2 - In this paper, a multi-product firm is covered, and an original model for management of the risk that arises from product price volatility is presented. The model is applicable in cases, when the company management without significant cost may vary the quantities of individual products within a given output structure. According to the classical paradigm of risk analysis by Daniel Bernoulli, with respect to stochastic profit, every plan of output is characterized by two criteria - expected profit and standard deviation of profit. In order to characterize the strategies of management, the concept of Bernoulli set is introduced in this paper. Ideas of Markowitz and Freund are applied to the firm TPF (technology, production, finances) model, which consider in the holistic approach the technology, production and finances of the firm.

AB - In this paper, a multi-product firm is covered, and an original model for management of the risk that arises from product price volatility is presented. The model is applicable in cases, when the company management without significant cost may vary the quantities of individual products within a given output structure. According to the classical paradigm of risk analysis by Daniel Bernoulli, with respect to stochastic profit, every plan of output is characterized by two criteria - expected profit and standard deviation of profit. In order to characterize the strategies of management, the concept of Bernoulli set is introduced in this paper. Ideas of Markowitz and Freund are applied to the firm TPF (technology, production, finances) model, which consider in the holistic approach the technology, production and finances of the firm.

KW - Bernoulli set

KW - Maximal efficient risk

KW - Pareto frontier

KW - Price volatility

KW - Risk management

KW - TPF model

UR - https://www.scopus.com/pages/publications/84976561011

M3 - Conference contribution

AN - SCOPUS:84976561011

VL - 2016

T3 - Engineering for Rural Development

SP - 342

EP - 353

BT - 15th International Scientific Conference "Engineering for Rural Development"

PB - Latvia University of Agriculture

CY - Jelgava

T2 - 15th International Scientific Conference on Engineering for Rural Development

Y2 - 25 May 2016 through 27 May 2016

ER -

Model of price volatility risk management for firm with perfectly structured technology

Abstract

Publication series

Conference

Keywords*

Field of Science*

Publication Type*

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Cite this