基于风险规避顾客的收入管理在线拍卖机制  

Online Auctions Mechanism of Customer's Revenue Management Based on Risk Averse Buyers

作　　者：杨清清[1] 李金林[1] 冉伦[1] 

机构地区：[1]北京理工大学管理与经济学院,北京100081

出　　处：《系统工程》2008年第7期17-21,共5页Systems Engineering

基　　金：国家自然科学基金资助项目(60776817)

摘　　要：分析了可运用于收入管理的定价及分配存量的在线拍卖机制。传统拍卖机制假设竞标者是风险中性的,本文研究的模型中买方是具有相同常数绝对风险规避的效用函数(CARA)的,考虑加入现在购买期权来研究基于风险规避顾客的收益管理中最优拍卖机制问题,采用Stackleberg两阶段主从博弈模型研究参与人策略,求解竞标者策略的纳什均衡,以达到最大化易逝性产品生产企业的收益的目的,最后用一个简单的数值算例对优化模型进行验证。结果表明面对风险规避顾客时,现在购买期权能有效提高销售价格和易逝性产品卖方收益。This paper presents the theory of online auctions system which can be used for pricing and inventory control in revenue management. It is assumed in traditional auction mechanism that are risk-neutral. We introduce the buyout option to a private value second price auction with constant absolute risk aversion buyers. To achieve the optimal revenue, we try to develop a theoretical model of stackelberg game to study the Nash equilibrium in bidder strategies. The result show that a risk-averse buyer is willing to pay a premium to buy ＂insurance＂, the buyout option can effective improve selling prices and the returns of perishable product sellers. The simple numerical experiment also proved the model.

关 键 词：收入管理 风险规避 现在购买期权 在线拍卖 

分 类 号：F275[经济管理—企业管理]