风险规避下基于期权合约的木材产销供应链最优策略  

Strategies for Timber Supply Chain with Option Contract under Risk Aversion

作　　者：杨梦 彭红军[1] 徐伟达 YANG Meng;PENG Hongjun;XU Weida(College of Economics and Management,Nanjing Forestry University,Nanjing 210037;Dehua Group Holding Co.Ltd,Huzhou 313200)

机构地区：[1]南京林业大学经济管理学院,南京210037 [2]德华集团控股股份有限公司,湖州313200

出　　处：《林业经济》2021年第2期84-96,共13页Forestry Economics

基　　金：国家社会科学基金项目“产出随机的供应商融资模式优化与调控政策研究”(编号:17BGL236)。

摘　　要：文章以一个风险规避型营林企业和一个风险中性木材分销商的木材产销供应链为研究对象,分析营林企业向木材分销商购买期权合约规避木材市场价格的随机波动风险,在条件风险价值(CVaR)准则下,构建斯塔克尔伯格(Stackelberg)博弈模型,研究木材产销供应链最优策略,并分析营林企业风险规避程度、期权执行价格以及期权费补贴率对木材产销供应链最优策略的影响。研究结果表明,当期权合约中约定的期权执行价格较低时,营林企业种植规模、木材生产量和期权费均随风险规避程度的增加而减少,但单位面积蓄积量却随风险规避程度的增加而增加;而当期权执行价格较高时,营林企业可通过行权应对木材价格波动风险,故种植规模、木材生产量、单位面积蓄积量以及期权费均不受风险规避程度影响。期权执行价格的提高会促使木材分销商提高期权费,进而提高期望利润;但期权执行价格对营林企业最优混合决策的影响存在差异,期权执行价格的提高有利于提高营林企业种植规模,但不利于营林企业增加质量投入提高单位面积蓄积量。期权费和单位面积蓄积量随期权费补贴率的提高而增加,而营林企业种植规模和木材生产量却随期权费补贴率的提高而减少。此外,期权费补贴率的提高有利于提高木材分销商的期望利润,但会降低营林企业的条件风险价值。We consider a timber supply chain with a risk-averse forestry enterprise and a risk-neutral timber distributor,in which the forestry enterprise buys option contract from the timber distributor to avoid the risk of random fluctuation of timber market price.Under the criterion of conditional value at risk(CVaR),a Stackelberg game model is built to study the optimal strategies for the timber supply chain,and the impact of the degree of risk aversion of forestry enterprise,option exercise price and option fee subsidy rate is considered.The results show that,When the exercise price agreed in the option contract is low,the planting scale,timber production and option fee decreased with the increase of risk aversion degree,but the unit area accumulation increased with it.Otherwise,forestry enterprise will deal with the risk of timber price fluctuation through exercise option,so the planting scale,timber production,unit area accumulation and option fee are not affected by it.The increase of option exercise price will promote the timber distributor to increase option fee and then increase expected profit.However,the effect of option exercise price on the optimal mixed decision-making of forestry enterprise is different.The increase of option exercise price is conducive to improving the planting scale,but not conducive to increasing the quality investment and unit area accumulation.The increase of option fee subsidy rate will help to improve the unit area accumulation and option fee,but will reduce the enthusiasm of forest enterprises to expand planting scale and timber production.In addition,the increase of subsidy rate is beneficial to increase the expected profit of wood distributor,but it will reduce the conditional value at risk of forestry enterprise.

关 键 词：营林企业 期权合约 风险规避 木材市场价格波动 

分 类 号：F272.35[经济管理—企业管理] F326.25[经济管理—国民经济]