供应风险规避下基于VaR的零售商订货策略  

Optimal Order Policy based on VaR with a Supply-Risk-Averse Retailer

作　　者：朱传波[1] 季建华[2] 包兴[3] 

机构地区：[1]嘉兴学院商学院,浙江嘉兴314001 [2]上海交通大学中美物流研究院,上海200052 [3]中共浙江省委党校浙江省科学发展观与浙江发展研究中心,杭州311121

出　　处：《系统管理学报》2014年第6期861-866,共6页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70732003;71171070);国家社科基金青年项目(10CGL026);浙江省自然科学基金资助项目(LY12G02009;LQ12G01004);浙江省哲学社科规划项目(11JCGL09YB);教育部人文社科项目(10YJCZH180)

摘　　要：基于随机产出模型,研究了由1个风险中性的供应商和1个风险规避的零售商组成的报童问题,并在风险价值(VaR)度量准则下,构建了具有风险规避特性的零售商的决策目标函数。分析了零售商的风险规避系数和保留利润构成的风险因子组合对其订货策略的影响;并分析了零售商的订货策略行为对供应链成员收益与风险的影响。研究表明:1风险规避型零售商的最优订货量总是不小于风险中性情况,且风险规避程度越高,订货量越大;而零售商的风险规避程度是由风险规避系数和保留利润共同决定的;2相比风险中性而言,风险规避型零售商的期望利润减少了,但其面对的风险也减小;在供应链无协调情况下,零售商增大订货量使得供应商的期望利润增加,供应链的期望利润的大小关系并不确定,但供应链面对的风险减小了。We study a newsvendor problem with one risk-neutral supplier with random yield, and one risk- averse retailer. The objective function of the risk-averse retailer is described using Value-at-Risk （VaR）. We analyze the impact of risk pair including risk-averse coefficient and retained profit on retailer＇s order policy. We then analyze the behavior of the retailer＇s order policy on supply chain agents＇ revenue and risk. The results show that： （1） the risk-averse retailer＇s optimal quantity is always no less than the risk- neutral case, and the higher the degree of risk-averse, the greater the quantity. The retailer＇s aversion is jointly determined by the coefficient of risk aversion and retained profit; （2） compared with the risk- neutral case, the risk-averse retailer＇s expected profit is reduced, but retailer＇s risk is reduced as well. In the case without supply chain coordination, the behavior of the retailer＇s order policy make the supplier＇s expected profit increase, and make supply chain＇s expected profit uncertain, but the supply chain risk is reduced.

关 键 词：供应不可靠 VAR 风险规避 订货策略 

分 类 号：F272[经济管理—企业管理]