基于最小方差法的供应链系统套期保值风险管理研究  

Research on Hedging Risk Management of Supply Chain System based on Minimum Variance Method

作　　者：王玖河[1,2] 李焱 李洪岩[1] WANG Jiu-he;LI Yan;LI Hong-yan(School of Economics and Management,Yanshan University,Qinhuangdao 066004,China;Center of Beijing-Tianjin-Hebei Cooperative Development Management Innovation Research,Yanshan University,Qinhuangdao 066004,China)

机构地区：[1]燕山大学经济管理学院,河北秦皇岛066004 [2]燕山大学京津冀协同发展管理创新研究中心,河北秦皇岛066004

出　　处：《数学的实践与认识》2021年第19期21-34,共14页Mathematics in Practice and Theory

基　　金：河北省自然科学基金项目(G2015203378)的部分研究成果。

摘　　要：当前,受突如其来的新冠疫情的影响,全球公司普遍面临着因停工复产的不一致而导致的采购和分销价格波动的风险,进而扩散到诸多供应链节点企业,甚至面临断链危机.因为套期保值具有规避现货价格波动风险、稳定价格和利润的功能,研究了基于套期保值的供应链系统风险控制方法.假设了具有三个节点企业的供应链系统,列举了系统中三个节点企业的原料采购价格和产品销售价格的波动趋势的八种预测情形,分析了八种不同的预测情形下分别需要对供应链中的哪些原料或产品进行套期保值,构建了各种预测情形下对供应链系统中进行套期保值的原料和产品的总体收益进行分析的模型,并应用最小方差法分别求解了最优的套期保值比率.构建的套期保值模型及求解的最优套期保值比率,可以为供应链实例设计具体的套期保值风险管理方案提供参考.At present,affected by the sudden outbreak of novel coronavirus epidemic,global companies are generally faced with the risk of price fluctuations of procurement and distribution due to the inconsistency in production shutdown and resumption,which then spread to many supply chain node enterprises,and even face the crisis of chain interruption.Because hedging has the functions of avoiding the risk of spot price fluctuation,stabilizing price and profit,this paper studies the risk control method of supply chain system based on hedging.This paper assumes a supply chain system with three node enterprises,lists eight forecasting situations of the fluctuation trend of raw material purchase price and product sales price of three node enterprises in the system,analyzes which raw materials or products in the supply chain need to be hedged under eight different forecasting situations,and constructs the models for analyzing the total return of raw materials and products hedged in supply chain system under various forecasting situations,and the minimum variance method is used to solve the optimal hedging ratios.The hedging models established and the optimal hedging ratios solved in this paper can be used to provide reference for designing a specific hedging risk management scheme in supply chain examples.

关 键 词：供应链系统 价格波动 套期保值 风险控制 

分 类 号：F274[经济管理—企业管理] F272.3[经济管理—国民经济]