基于条件风险价值的零售商创新投资决策研究  

Innovation investment decision models of retailer based on condition value-at-risk

作　　者：李星北[1] 齐二石[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《计算机应用研究》2014年第11期3304-3307,3315,共5页Application Research of Computers

基　　金：科技部创新方法工作专项资助项目(2012IM040500);国家教育部高等学校博士学科点专项科研基金资助项目(20120032110035)

摘　　要：研究了由风险中性制造商和风险规避零售商构成的供应链创新投资问题。通过运用条件风险价值(CVaR)对企业的风险偏好进行测度,构建了分散供应链和集中供应链两种情况下的企业决策模型,并根据数值实验对模型作了进一步的分析。研究结果表明:零售商越担心风险,其对创新的投入越少,并会减少销售量以应对市场风险,从而使得供应链的整体收益下降;分散供应链下的创新投入、销售量和供应链的期望收益低于集中供应链下的创新投入、销售量和供应链的期望收益。施行收益共享契约后,分散供应链下的创新投入和销售量达到了集中供应链下的决策水平,制造商和零售商的期望收益均得到提高。This paper studied innovation investment issues of the supply chain consisting of the risk-neutral manufacturer and the risk-aversion retailer.By using the condition value-at-risk （CVaR）to measure risk preferences,this paper constructed decisions model under the centralized supply chain and the decentralized supply chain,and then gave the further analysis by math experi-ment.The results show that：the higher the retailer’s risk aversion,the less its investment in innovation;the high risk-aversion retailer reduce sales result to the supply chain overall revenue decline.This paper also finds that the supply chain innovation in-vestment,sales and the expected profits under the decentralized supply chain is lower than under the centralized supply chain’s. Implementation of the revenue sharing contract,innovation investment and sales under the decentralized supply chain reached the centralized supply chain’s decision-making level,and it improved the manufacturer and the retailer expected profits.

关 键 词：条件风险价值 供应链 STACKELBERG博弈 风险 创新投资 

分 类 号：TP301.6[自动化与计算机技术—计算机系统结构] TP391[自动化与计算机技术—计算机科学与技术]