基于CVaR风险测度标准的价格补贴策略下的协调研究  

Impact of Risk Aversion on Optimal Decisions in Markdown Money Contract

作　　者：吴安波[1,2,3] 李刚[1,2,3] 孙林岩[1,2,3] 孙荣庭[4] 

机构地区：[1]西安交通大学管理学院,西安710049 [2]过程控制与效率工程教育部重点实验室,西安710049 [3]机械制造系统工程国家重点实验室,西安710049 [4]长安大学经济与管理学院,西安710064

出　　处：《运筹与管理》2013年第2期44-56,共13页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(61174171);中央高校基本科研业务费专项资金资助项目(Sk2010034);西安市软科学基金资助项目(SF1012(1))

摘　　要：基于条件风险值模型(CVaR),探讨了在一个风险中性制造商和一个风险规避零售商组成的制造商领导的斯塔克伯格博弈供应链中,制造商如何与风险规避零售商订立批发价契约以最大化其期望利润的问题。设计了价格补贴的契约协调机制,给出了该机制下风险规避程度对零售商和制造商最优决策的影响。证明了在一定的实施条件下,制造商通过设立价格补贴机制,可改善供应链双方利润与供应链效率。最后,用算例验证了模型和理论分析的可行性。We consider a newsvendor problem in a supply chain that consists of a risk-neutral manufacturer as the Stackelberg leader and a risk-averse retailer as the follower.In a Conditional Value-at-Risk（CVaR）framework,we examine how the manufacturer contracts a wholesale-price agreement with its retailer that maximizes its profit.We also propose a markdown-money policy that can achieve supply chain coordination.We study the impact of the degree of risk aversion on the retailer ＇s and manufacturer ＇s optimal decisions.And we show how the manufacturer sets a markdown money contract,which enhances both profits of two parties and improves supply chain efficiency.Finally,we design numerical examples to verify the feasibility of the model and the theoretical analysis.

关 键 词：供应链协调 价格补贴 CVAR 风险规避 

分 类 号：F224.3[经济管理—国民经济]