一种多随从双层条件风险值模型的等价性定理  

AN EQUIVALENCE THEOREM OF BILEVEL CONDITIONAL VALUE-AT-RISK MODEL OF MULTI-FOLLOWER

作　　者：沈瑞[1] 蒋敏[1] 孟志青[1] 

机构地区：[1]浙江工业大学经贸管理学院,杭州310023

出　　处：《系统科学与数学》2015年第5期556-565,共10页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金(71001089);浙江省自然科学基金项目(LY13G010003)资助课题

摘　　要：多随从风险决策问题是供应链风险决策中普遍存在的问题,文章研究了风险厌恶下的多随从双层条件风险值模型,引入了多随从上下层决策的VaR损失值(最小风险值)和CVaR损失值(最小风险值对应的条件期望损失值或条件风险价值度量)概念,提出了一种风险厌恶下的多随从双层条件风险值模型,该模型的目标是求上下层的基于权值的多损失CVaR达最小的最优解,文章证明了它可以通过另一个较容易求解的双层规划模型获得最优解的等价性定理.Multi-follower risk decision-making problems is very popular in risk man- agement of supply chain. This paper studies a bilevel conditional value-at-risk model of multi-follower under risk-averse. We first introduce the concept of VaR loss value （minimum value at risk） and CVaR loss value （minimum risk value corresponding to the loss of value of the conditional expectation or conditional value at risk measure） of multi-follower under risk-averse. We present a bilevel conditional value-at-risk model of multi-follower under risk-averse.The objective is to find out an optimal solution to the model of upper level and lower level value of the CVaR＇s based on the weights. Then, an equivalence theorem that can be solved more easily through another bilevel programming model to obtain the optimal solution is proved.

关 键 词：多随从 双层规划 条件风险值 风险厌恶 

分 类 号：F224[经济管理—国民经济] F274