The coordination of operational and financial decisions under uncertainty.

摘要

This dissertation consists of three essays that examine the coordination of operational and financial decisions and the ways of using operational planning to manage financial risks.; Many owners of growing privately-held firms make operational and financial decisions in an effort to maximize the expected present value of the proceeds from an Initial Public Offering (IPO). In the first essay I ask: “What is the right time to make an IPO?” and “How should operational and financial decisions be coordinated to increase the likelihood of a successful IPO?” I treat the IPO event as a stopping time in an infinite-horizon discounted Markov decision process. Unlike traditional stopping time models, at every stage the model includes other decisions such as production, sales and loan size. The results include (1) characterization of an optimal capacity-expansion policy, (2) sufficient conditions for a monotone threshold rule to yield an optimal IPO decision, and (3) algorithmic implications of results in (1) and (2).; In the second essay I study the effects of credit risk in a supply chain where one retailer deals with competing risky suppliers. The suppliers control wholesale prices. The retailer chooses order quantities while weighing the benefits of procuring from the cheapest supplier against the advantages of diversification. If the wholesale prices were exogenous, the retailer would benefit from decreasing default correlation. However, when prices are endogenous, decreasing the correlation dampens competition among the suppliers, increasing the equilibrium wholesale prices. I show that the retailer prefers suppliers with positively correlated default events. In contrast, the suppliers and the channel prefer defaults that are negatively correlated.; The discrepancy in production lead-times among suppliers furnishes the retailer with a valuable option to defer ordering decisions until uncertainty has been partially resolved. In the third essay, using a single period model of a supply chain with two competing risky suppliers and a retailer I study how supplier credit risk affects the value of the deferment option, retailer's procurement and production decisions, supplier's pricing decisions, and firms' profits. I also investigate the interaction between market and default uncertainties and the influence of competition among suppliers on the value of the deferment option.