All Title Author
Keywords Abstract


“报童问题”中风险偏好下的条件风险值及其优化

, PP. 1446-1453

Keywords: 报童问题,风险规避,风险偏爱,缺货成本,条件风险值

Full-Text   Cite this paper   Add to My Lib

Abstract:

建立了报童随机利润的分布函数,得到任意风险水平下的VaR解析表达式或应满足的条件.考虑缺货成本,针对风险规避和风险偏爱两种情况,分别建立不同订购量和风险水平下的条件风险值模型,并将模型中对利润变量的积分转换为对随机需求变量的积分,解决了模型中因包含VaR变量而求解困难的问题.分析了给定风险水平下的最优决策,讨论了缺货成本为0的特殊情形.风险中性报童的期望利润与最优决策可由风险规避或风险偏爱的相应公式推导.最后对下一步的研究方向进行了展望.

References

[1]  Benzion U, Cohen Y, Peled R, et al. Decision-making and
[2]  the newsvendor problem: An experimental study[J]. J of
[3]  the Operational Research Society, 2008, 59(9): 1281-1287.
[4]  55(12): 1953-1968.
[5]  25(1): 13-20.
[6]  (Yu C Y, Zhao X N, Peng Y D, et al. Supply chains
[7]  optimization and coordination mechanisms mode with a
[8]  risk-averse supplier(or retailer) and a risk-taking retailer(or
[9]  supplier)[J]. Systems Engineering, 2007, 25(1): 13-20.)
[10]  于春云, 赵希南, 彭艳东, 等. 基于条件风险值理论的
[11]  供应链优化与协调模型研究[J]. 中国管理科学, 2007,
[12]  15(3): 31-39.
[13]  value-at-risk[J]. Chinese J of Management Science, 2007,
[14]  15(3): 31-39.)
[15]  2011, 31(3): 450-460.
[16]  criterion[J]. Systems Engineering - Theory & Practice,
[17]  averse retailer[J]. Operations Research and Management
[18]  Science, 2010, 19(2): 12-21.)
[19]  coordination with a risk-neutral supplier and a downside-
[20]  risk-averse retailer[J]. Production and Operations
[21]  8.
[22]  (Xu M H, Yu G, Zhang H Q. CVaR in a newsvendor
[23]  Operational Research, 2007, 179(1): 80-96.
[24]  Hsieh Chung-chi, Lu Yu-ting. Manufacturer’s return
[25]  contract coordination strategy based on conditional value-
[26]  Science, 2011, 20(4): 10-16.)
[27]  Tyrrell Rockafellar R, Stanislav Uryasev. Optimization of
[28]  conditional value-at-risk[J]. J of risk, 2000, 2(3): 21-42.
[29]  Tyrrell Rockafellar R, Stanislav Uryasev. Conditional
[30]  value-at-risk for general loss distributions[J]. J of Banking
[31]  Elena Katok, Diana Yan Wu. Contracting in supply chains:
[32]  A laboratory investigation[J]. Management Science, 2009,
[33]  Francesca Gino, Gary Pisano. Toward a theory of
[34]  behavioral operations[J]. Manufacturing & Service
[35]  Operations Management, 2008, 10(4): 676-691.
[36]  陈剑利, 李胜宏. CVaR 风险度量模型在投资组合中的
[37]  运用[J]. 运筹与管理, 2004, 13(1): 95-99.
[38]  (Chen J L, Li S H. An application of CVaR models in
[39]  the portfolio[J]. Operations Research and Management
[40]  Science, 2004, 13(1): 95-99.)
[41]  于春云, 赵希南, 彭艳东, 等. 具有风险规避者和偏爱
[42]  者加盟的供应链优化与协调模型[J]. 系统工程, 2007,
[43]  (Yu C Y, Zhao X N, Peng Y D, et al. Study of supply chains
[44]  optimization and coordination model based on conditional
[45]  叶飞, 林强, 李怡娜. 基于CVaR 的“公司+农户”型订单
[46]  农业供应链协调契约机制[J]. 系统工程理论与实践,
[47]  (Ye F, Lin Q, Li Y N. Supply chain coordination
[48]  for “company+farmer” contract-farming with CVaR
[49]  2011, 31(3): 450-460.)
[50]  马利军, 李四杰, 严厚民. 具有风险厌恶零售商的供应链
[51]  合作博弈分析[J]. 运筹与管理, 2010, 19(2): 12-21.
[52]  (Ma L J, Li S J, Yan H M. Channel bargaining with risk-
[53]  Gan Xiang-hua, Suresh P Sethi, Yan Hou-min. Channel
[54]  Management, 2005, 14(1): 80-89.
[55]  许明辉, 于刚, 张汉勤. 带有缺货惩罚的报童模型中
[56]  的CVaR 研究[J]. 系统工程理论与实践, 2006, 26(10): 1-
[57]  model with lost sale penalty cost[J]. Systems Engineering
[58]  - Theory & Practice, 2006, 26(10): 1-8.)
[59]  Gotoh Jun-ya, Takano Yui-chi. Newsvendor solutions via
[60]  conditional value-at-risk minimization[J]. European J of
[61]  policy in a two-stage supply chain with two risk-averse
[62]  retailers and random demand[J]. European J of Operational
[63]  Research, 2010, 207(1): 514-523.
[64]  Worner Jammernegg, Peter Kischka. Risk-arerse and
[65]  risk-taking newsvendor: A conditional expected value
[66]  approach[J]. Review of Managerial Science, 2007, 1(4):
[67]  93-110.
[68]  邱若臻, 黄小原. 基于条件风险值准则的供应链回购契
[69]  约协调策略[J]. 运筹与管理, 2011, 20(4): 10-16.
[70]  (Qiu R Z, Huang X Y. The supply chain buyback
[71]  at-risk criterion[J]. Operations Research and Management
[72]  & Finance, 2002, 26(7): 1443-1471.

Full-Text

comments powered by Disqus

Contact Us

service@oalib.com

QQ:3279437679

微信:OALib Journal