基于条件风险值理论的供应链优化与协调模型研究  

Study of Supply Chains Optimization and Coordination Model Based on Conditional Value-at-Risk

作　　者：于春云[1] 赵希男[1] 彭艳东[2] 潘德惠[1] 

机构地区：[1]东北大学工商管理学院,沈阳110041 [2]东北大学秦皇岛分校,秦皇岛066004

出　　处：《中国管理科学》2007年第3期31-39,共9页Chinese Journal of Management Science

摘　　要：本文将近年来发展起来的金融风险控制工具——条件风险值,引入具有风险规避特性的供应链优化与协调问题的研究。建立了随机需求下由具有不同风险规避特性的单个供应商与单个零售商组成的两级供应链的条件风险值模型和基于条件风险值的最优订购量模型及协调供应链的收入共享契约模型,并对模型进行了分析,揭示了供应商和零售商的风险规避程度对最优订购量、批发价格及供应链协调的影响。最后通过一个算例对模型进行了仿真,仿真结果进一步验证了本文的研究结论。In this paper we introduce the financial risk control tool, the conditional value-at-risk, to study risk-averse supply chains optimization and coordination mechanism problem. First, for a two-ech-elon supply chain with a risk-averse supplier and risk-averse retailer, we construct the conditional value-at-risk model, the optimal ordering quantity model and the revenue- sharing contract model based on CVaR under ramdom demand. Then, we analyze the model and reveal the impact of risk aversion on supply chains coordination, the optimal ordering quantity and the trade price decisions. Finally, we have also given numerical results to verify the conclusions presented in this paper.

关 键 词：条件风险值(CvAR) 风险规避 供应链优化与协调 收入共享契约模型 

分 类 号：C274[社会学]