机会损失最小化报童模型中的订购决策研究  

Optimal Ordering Decisions to Minimize Opportunity Loss in the Newsvendor Model

作　　者：许丽娜[1] 孟志青[2] 徐新生[3] 

机构地区：[1]浙江理工大学科技与艺术学院,杭州311121 [2]浙江工业大学经贸管理学院,杭州310023 [3]滨州学院数学系,滨州256603

出　　处：《系统科学与数学》2017年第1期239-252,共14页Journal of Systems Science and Mathematical Sciences

基　　金：山东省自然科学基金(ZR2014GQ005);浙江省自然科学基金(LY15G010007);中国博士后基金(2016M590697);滨州学院科研基金(2015Y10和BZXYL1304)资助课题

摘　　要：结合条件风险值(conditional value-at-risk,CVaR)准则对机会损失最小化报童模型中零售商的订购决策进行研究.研究结果表明:当订购过量损失大于订购不足损失时,零售商基于CVaR机会损失最小化的订购量小于期望机会损失最小化的订购量,且随着零售商对风险厌恶程度的增加而减少;反之,当订购过量损失小于订购不足损失时,零售商基于CVaR机会损失最小化的订购量大于期望机会损失最小化的订购量,且随着零售商对风险厌恶程度的增加而增加;随着零售商对风险规避程度的增加,零售商基于CVaR机会损失最小化的订购量所对应的期望利润和期望机会损失分别减少和增加,即低风险意味着低收益,高收益伴随着高风险.This paper adopts the CVaR measure to study the newsvendor model in which the risk-averse newsvendor aims to minimize his CVaR of opportunity loss. The following results are achieved. The newsvendor＇s optimal order quantity to minimize CVaR of opportunity loss is decreasing in the confidencel level and thus is smaller thanthe expected opportunity loss minimization order quantity when the overage loss is bigger than the underage loss. The newsvendor＇s optimal order quantity to minimize CVaR of opportunity loss is increasing in the confidencel level and thus is bigger than the expected opportunity loss minimization order quantity when the overage loss is smaller than the underage loss. Besides, it is shown that under the optimal order quantity to minimize CVaR of opportunity loss, the newsvendor＇s expected profit is decreasing in the confidence level and the newsvendor＇s expected opportunity loss is increasing in the confidence level, which confirm that low risk implies low return while high return comes with high risk.

关 键 词：报童模型 条件风险值 机会损失 

分 类 号：F274[经济管理—企业管理]