Analysis of Conditional Value-at-Risk for Newsvendor with Holding and Backorder Cost under Market Search  

作　　者：LI Jianbin GAO Chengxiu HU Wei YANG Lei 

机构地区：[1]School of Mathematics and Statistics, Wuhan University, Wuhan 430072, Hubei, China [2]Academy of Mathematics and Systems Science, Chinese Academy Sciences, Beijing 100080, China [3]School of Economics and Management, Tsinghua University, Beijing 100084, China

出　　处：《Wuhan University Journal of Natural Sciences》2007年第6期979-984,共6页武汉大学学报（自然科学英文版）

基　　金：Supported by the National Natural Science Foundation of China (70471034, A0324666)

摘　　要：We consider a distribution system with one supplier and two retailers. For the two retailers, they face different demand and are both risk averse. We study a single period model which the supplier has ample goods and the retailers order goods separately. Market search is measured as the fraction of customers who unsatisfied with their ＂local＂ retailer due to stock-out, and search for the goods at the other retailer before leaving the system. We investigate how the retailers game for order quantity in a Conditional Value-at-Risk framework and study how risk averse degree, market search level, holding cost and backorder cost influence the optimal order strategies. Furthermore, we use uniform distribution to illustrate these results and obtain Nash equilibrium of order strategies.We consider a distribution system with one supplier and two retailers. For the two retailers, they face different demand and are both risk averse. We study a single period model which the supplier has ample goods and the retailers order goods separately. Market search is measured as the fraction of customers who unsatisfied with their ＂local＂ retailer due to stock-out, and search for the goods at the other retailer before leaving the system. We investigate how the retailers game for order quantity in a Conditional Value-at-Risk framework and study how risk averse degree, market search level, holding cost and backorder cost influence the optimal order strategies. Furthermore, we use uniform distribution to illustrate these results and obtain Nash equilibrium of order strategies.

关 键 词：risk averse Conditional Value-at-Risk market search game theory 

分 类 号：O221[理学—运筹学与控制论] F224.7[理学—数学]