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Effect of a price driven secondary market on a system with random demand and uncertain costs

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dc.contributor Graduate Program in Industrial Engineering.
dc.contributor.advisor Güllü, Refik.
dc.contributor.author Gürel, yücel.
dc.date.accessioned 2023-03-16T10:29:07Z
dc.date.available 2023-03-16T10:29:07Z
dc.date.issued 2016.
dc.identifier.other IE 2016 G87
dc.identifier.uri http://digitalarchive.boun.edu.tr/handle/123456789/13364
dc.description.abstract In this thesis, we consider the problem of purchasing a commodity with a uctuating market price so as to maximize its pro t from selling it over two selling season. Over the primary season, the market price evolution is described by the Geometric Brownian Motion and we describe the demand process as a Poisson Process. Moreover demand and price is independent during this season. Over the secondary selling season, demand depends on the price the rm assigns. Considering the salvage value in place of the secondary market, we develop a mathematical model and nd a closed form of solution. For the general model, we model the secondary market demand as a linear model and rst solve optimization problem of maximizing the revenue from the secondary market. Then, we combine two selling seasons and model the problem for maximizing the total expected pro t. In addition, we perform a numerical study to investigate how the optimal quantity and the optimal pro t values depend on the price process parameters. We also test the performance of the optimal policy against the policy that ignores the volatility of the price.
dc.format.extent 30 cm.
dc.publisher Thesis (M.S.)-Bogazici University. Institute for Graduate Studies in Science and Engineering, 2016.
dc.subject.lcsh Poisson processes.
dc.title Effect of a price driven secondary market on a system with random demand and uncertain costs
dc.format.pages 50 leaves ;


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