基于混合CVaR的供应链回购策略优化与协调研究  

RESEARCH ON BUY-BACK POLICY OPTIMIZATION AND COORDINATION OF SUPPLY CHAIN BASED ON MIXTURE CVAR

作　　者：王莹莉[1] 

机构地区：[1]中国科学院数学与系统科学研究院,北京100190

出　　处：《系统科学与数学》2015年第11期1304-1315,共12页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金重点项目(71532013)和面上项目(11471326)资助课题

摘　　要：研究了风险中性供应商与混合CVaR约束零售商构成的两级供应链模型中回购契约协调问题.混合CVaR是由最小化CVaR和最大化CVaR通过加权平均的方式得到的,它包括风险规避,风险中性和风险追求三种特殊情形.引入一个刻画决策者风险态度的"风险偏好系数",证明当风险偏好系数大于1时混合CVaR与前景理论中的损失规避均能刻画决策者对损失的敏感性高于对收益的敏感性.得到零售商最优订货量和最优利润关于风险偏好系数的单调性;证明无论风险偏好系数大于等于1或小于1,回购契约都能实现供应链协调,并推导出实现系统协调时最优契约参数之间的关系.最后结合数值例子验证了供应链回购契约机制的有效性.This paper develops buy back contract coordination model in a two- stage supply chain consisting of a risk neutral supplier and a retailer with mixture conditional value-at-risk constrain. The mixture CVaR can be obtained by using weighted average of the minimazation CVaR and the maximization CVaR, which includes three special cases： Risk aversion, risk neutral and risk taking. We introduce the concept of ＂risk preference coefficient＂, and show that the mixture CVaR and loss aversion in prospect theory can all describe the fact that decision maker＇s sensibility to loss is higher than to gains when risk preference coefficient is large than one. We obtain monotonicities of optimal order quantity and optimal profit of retailer with respect to risk preference coefficient; prove that supply chain system can be coordinated by buy back contract for any risk preference coefficient that is larger than or equal to or less than one, and the relation between the optimal contractual parameters are deduced. Finally, numerical examples are given to illustrate the theoretical results of the proposed model.

关 键 词：混合CVaR 风险规避 回购契约 供应链协调 风险偏好系数. 

分 类 号：F274[经济管理—企业管理]