A mean-variance optimisation model for produce export distribution with postponed shipment and market allocation options

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dc.catalogadoryvc
dc.contributor.authorVargas Cisternas, Nicolas Alejandro
dc.contributor.authorKlapp Belmar, Mathias Alberto
dc.contributor.authorMac Cawley Vergara, Alejandro Francisco
dc.date.accessioned2025-08-28T20:11:45Z
dc.date.available2025-08-28T20:11:45Z
dc.date.issued2025
dc.description.abstractGlobal exporters of fresh agricultural produce must determine where and when to ship their goods while facing significant price volatility in their sales markets. Unlike non-perishable commodities, agricultural produce cannot be relocated once shipped, eliminating any opportunity for arbitrage across markets. To address this problem, we present a decision-support tool for fresh produce exporters based on a two-stage stochastic optimisation model that extends Markowitz's Mean–Variance model. Our proposed model implements three risk-mitigation strategies: distribute shipments across multiple markets, use two shipping periods, and delay a fraction of market allocation decisions. Diversifying exports across markets and shipment times enables the exporter to capitalise on negative price correlations, while delaying allocations reduces uncertainty with updated price information. We empirically tested our approach using real Chilean grape export price data to simulate price scenarios and compare our model's results with two benchmark models: one that assumes one shipment period, and another that allows two shipment periods but decides all allocations in advance, without adapting to newly revealed information. Our model significantly outperforms both benchmarks, indicating the value of the three risk-mitigation strategies. Furthermore, as inventory costs increase, the value of postponement decreases; also, having a wider range of markets, with negative correlation, adds value.
dc.fechaingreso.objetodigital2025-08-28
dc.format.extent26 páginas
dc.fuente.origenORCID
dc.identifier.doi10.1080/00207543.2025.2543493
dc.identifier.urihttps://doi.org/10.1080/00207543.2025.2543493
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/105345
dc.information.autorucEscuela de Ingeniería; Vargas Cisternas, Nicolas Alejandro; 0009-0001-0193-3422; 245907
dc.information.autorucEscuela de Ingeniería; Klapp Belmar, Mathias Alberto; 0000-0002-0218-2392; 140981
dc.information.autorucEscuela de Ingeniería; Mac Cawley Vergara, Alejandro Francisco; 0000-0002-4848-4732; 81775
dc.language.isoen
dc.nota.accesocontenido completo
dc.revistaInternational Journal of Production Research
dc.rightsacceso abierto
dc.rights.licenseCC BY NC ND Atribución NoComercial SinDerivadas 4.0 Internacional
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectMarkowitz's mean-variance model
dc.subjectTwo-stage stochastic optimisation
dc.subjectFresh produce distribution
dc.subjectPostponement decision
dc.subjectMarket diversification
dc.subject.ddc620
dc.subject.deweyIngenieríaes_ES
dc.titleA mean-variance optimisation model for produce export distribution with postponed shipment and market allocation options
dc.typeartículo
sipa.codpersvinculados81775
sipa.trazabilidadORCID;2025-08-22
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