多损失条件风险值的多层规划模型  

A multi-level programming of multi-loss conditional value-at-risk model

作　　者：蒋敏[1] 孟志青[1] 

机构地区：[1]浙江工业大学经贸管理学院,浙江杭州310023

出　　处：《高校应用数学学报（A辑）》2015年第1期91-100,共10页Applied Mathematics A Journal of Chinese Universities(Ser.A)

基　　金：国家自然科学基金(71001089);浙江省自然科学基金(LY13G010003)

摘　　要：对于多个损失函数,在给定的置信水平下,首先定义了不超过给定损失值的最小风险值(即Va R值)和基于权值的累积期望损失值(即CVa R损失值)概念,然后建立了一个多损失条件风险值的多层规划模型.该模型的目标是求各层多损失CVa R值达最小的最优策略,并证明了它等价于另一个较容易求解的多层规划模型.最后,给出了三级供应链中多产品的定价与订购的条件风险值模型(三层线性规划模型).For a multi-loss function, at a given confidence level, the concepts of the loss value not exceeding a given minimum value at risk（Va R） and the corresponding cumulative expected loss value（i.e., the CVa R loss value） with the corresponding weight value level are introduced first. Then,a multi-level programming model of the multi-loss CVa R model is obtained. The goal of the model is to get an optimal strategy of the minimum CVa R value each level. This model can be solved more easily through another multi-level programming model to obtain the optimal solution. Finally, a multiproduct pricing and ordering of a three-stage supply chain model（a tri-level linear programming model）is presented.

关 键 词：多损失条件风险值 多层规划 最优解 供应链 

分 类 号：O122.2[理学—数学]