M-CVaR准则下具有风险偏好的双渠道供应链决策分析
Decision Analysis of Dual-Channel Supply Chain with Risk Preference under M-CVaR Criterion

本文针对供应商为风险中性，零售商具有风险偏好的双渠道销售的两级供应链系统。在条件风险值(CVaR)准则基础上，创造性的提出了利用均值条件风险价值(M-CVaR)度量风险偏好，融合风险厌恶度和悲观系数建立了基于M-CVaR决策准则的双渠道销售供应链模型。最后讨论零售商的不同风险偏好度对供应链最优决策的影响，并通过数值分析验证了模型的可行性。研究表明：1) M-CVaR决策准则比条件风险值准则更能完整度量决策者的风险偏好度；2) 具有风险偏好的双渠道供应链可通过均值条件风险价值决策准则寻找最优决策。
This paper aims at the two-level supply chain system of dual-channel sales in which the supplier is risk-neutral and the retailer has risk preference. Based on the conditional value at risk (CVaR) criterion, this paper creatively puts forward the use of mean conditional value at risk (m-CVaR) to measure risk preference, integrates risk aversion and pessimism coefficient, and establishes a dual-channel sales supply chain model based on m-CVaR decision criterion. Finally, the influence of retailers’ different risk preference on the optimal decision-making of supply chain is discussed, and the feasibility of the model is verified by numerical analysis. The research shows that: 1) m-CVaR decision criterion can more completely measure the risk preference of decision-makers than conditional value at risk criterion; 2) The dual-channel supply chain with risk preference can find the optimal decision through the mean conditional value at risk decision criterion.